Research Article
Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning
Table 3
Descriptions of the training and test datasets.
| | Case | Training set | Test dataset |
| | Case 1 | Full period (2008/10/01–2019/01/22) | Test dataset 1 (2019/01/23–2019/10/29) | | Case 2 | Subperiod 1 (2008/10/01–2011/09/09) | Test dataset 2 (2011/09/12–2011/12/30) | | Case 3 | Subperiod 2 (2012/01/02–2019/01/22) | Test dataset 1 (2019/01/23–2019/10/29) |
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