Geostatistical modeling of dependent credit spreads : estimation of large covariance matrices and imputation of missing data

Amelie Hüttner, Matthias Scherer, Benedikt Gräler

Year of publication:	2020
Authors:	Hüttner, Amelie ; Scherer, Matthias ; Gräler, Benedikt
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 118.2020, p. 1-13
Subject:	CDS spread \| Covariance matrix estimation \| Gaussian random field \| Geostatistics \| Missing data imputation \| Korrelation \| Correlation \| Kreditderivat \| Credit derivative \| Zinsstruktur \| Yield curve \| Kreditrisiko \| Credit risk \| Fehlende Daten \| Missing data \| Schätztheorie \| Estimation theory

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