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Keywords: Nelson-Siegel model
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Journal Articles
Forecasting sovereign CDS spreads in the MENA region: a hybrid deep learning and term structure approach
Available to Purchase
International Journal of Emerging Markets 1–25.
Published: 01 June 2026
... rights only CDS spreads Sovereign credit risk Deep learning LSTM-GRU models Nelson-Siegel model MENA region A Credit Default Swap (CDS) is a key credit derivative that redistributes credit risk between two parties based on an underlying fixed-income asset. Functioning as credit...
