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 similarities between the term structure of CDSs and the term structure of interest rates allow CDS curves to be modelled successfully using a parsimonious three factor model as...
