Shaw, Frances; Murphy, Finbarr; O’Brien, Fergal - In: Research in International Business and Finance 30 (2014) C, pp. 348-368
This paper extends the Diebold–Li dynamic Nelson Siegel model to a new asset class, credit default swaps (CDSs). The … successfully using a parsimonious three factor model as first proposed by Nelson and Siegel (1987). CDSs and yield curves are … modelled using the Diebold and Li (2006) dynamic interpretation of the Nelson Siegel model where the three factors are …