The changing shape of sovereign default intensities

DOI10.1007/978-3-030-26036-1_14zbMATH Open1434.62223OpenAlexW2980414810MaRDI QIDQ2180407

Yusho Kagraoka, Zakaria Moussa

Publication date: 14 May 2020

Full work available at URL: https://doi.org/10.1007/978-3-030-26036-1_14

zbMATH Keywords

Kalman filterstate space modelNelson-Siegel modelsovereign credit default swapsovereign default intensities

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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