The changing shape of sovereign default intensities

DOI10.1007/978-3-030-26036-1_14MaRDI QIDQ2180407zbMATH OpenOpenAlexFDO

Authors 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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