The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps
Frances Shaw; Finbarr Murphy; Fergal O'Brien
| Year of publication: |
2014
|
|---|---|
| Authors: | Shaw, Frances ; Murphy, Finbarr ; O'Brien, Fergal |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 30.2014, p. 348-368
|
| Subject: | Term structure of credit default swaps | Nelson Siegel | Forecasting | Kreditderivat | Credit derivative | Zinsstruktur | Yield curve | Theorie | Theory | Prognoseverfahren | Forecasting model | Kreditrisiko | Credit risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010391732