Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning
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DOI: 10.1155/2020/2518283
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Cited by:
- Guillaume Belly & Lukas Boeckelmann & Carlos Mateo Caicedo Graciano & Alberto Di Iorio & Klodiana Istrefi & Vasileios Siakoulis & Arthur Stalla‐Bourdillon, 2023.
"Forecasting sovereign risk in the Euro area via machine learning,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 657-684, April.
- Guillaume Belly & Lukas Boeckelmann & Carlos Mateo Caicedo Graciano & Alberto Di Iorio & Klodiana Istrefi & Vasileios Siakoulis & Arthur Stalla-Bourdillon, 2023. "Forecasting sovereign risk in the Euro area via machine learning," Post-Print hal-04459577, HAL.
- Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
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