Impact of the COVID-19 Pandemic on the US Credit Default Swap Market

Table 1

Train and test sets.

#	2010	2011	2012	2013	2014	2015	2016	2017	2018	2019	2020–2021
1	Train		Test	Test	Test	Test	Test	Test	Test	Test	Test
2	Test	Test	Train		Test	Test	Test	Test	Test	Test	Test
3	Test	Test	Test	Test	Train		Test	Test	Test	Test	Test
4	Test	Test	Test	Test	Test	Test	Train		Test	Test	Test
5	Test	Test	Test	Test	Test	Test	Test	Test	Train		Test

11 March 2020–10 March 2021.