25-037/III - Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics

• Authors
  Yonas Khanna, ING Bank; Andre Lucas, Vrije Universiteit Amsterdam; Norman Seeger, Vrije Universiteit Amsterdam
• Publication date
  May 30, 2025

• Keywords
  CDS-bond basis, missing value imputation, high-dimensional panel data, multi-curve modeling, time-varying spline interpolation, dynamic Nelson-Siegel, Kalman filter
• JEL
  C32, C33, C58, G12, G32