Modeling CDS term structures and connectedness: replication and forecast comparison
Moschini, Edoardo (A.A. 2024/2025) Modeling CDS term structures and connectedness: replication and forecast comparison. Tesi di Laurea in Econometria per la finanza, Luiss Guido Carli, relatore Federico Carlo Eugenio Carlini, pp. 48. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
CDS network connectedness replication. Dynamic Nelson-Siegel model. VAR connectedness. Neural representation learning and latent principal components. YC ATT attention network. PCA features extraction. Instrumented PCA approach. IPCA model. Identification and normalization. Diagnostics and empirical design. Forecasting comparison. Forecasting design. Evaluation metrics and results.
References
Bibliografia: p. 47.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometria per la finanza |
| Thesis Supervisor: | Carlini, Federico Carlo Eugenio |
| Thesis Co-Supervisor: | Santucci de Magistris, Paolo |
| Academic Year: | 2024/2025 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 10 Sep 2026 07:49 |
| Last Modified: | 10 Sep 2026 07:49 |
| URI: | https://tesi.luiss.it/id/eprint/46780 |
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