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Madhavan, Vinodh - In: Review of business : interdisciplinary journal on risk … 32 (2011/12) 1, pp. 111-119

Persistent link: https://www.econbiz.de/10009509282

Nonlinearity in investment grade Credit Default Swap (CDS) indices of US and Europe : evidence from BDS and close-returns tests

Madhavan, Vinodh - In: Global finance journal 24 (2013) 3, pp. 266-279

Persistent link: https://www.econbiz.de/10010345899

Madhavan, Vinodh - 2012

This paper is aimed at analyzing the interdependency between American and European Credit Default Swap (CDS) Indices markets from June 2004 to April 2009. For this exercise, the author has chosen the two most liquid Investment-Grade (IG) CDS indices: CDX.NA.IG of North America & iTraxx.Europe of...

Persistent link: https://www.econbiz.de/10013105256

Nonlinearity in Investment-Grade Credit Default Swap (CDS) Indices of US and Europe : Evidence from BDS and Close-Returns Tests

Madhavan, Vinodh - 2013

This paper is aimed at testing for nonlinearity and chaos in Investment Grade CDS Indices of US and Europe. For this exercise, the author has chosen the two most liquid indices, namely CDX.NA.IG (US) and iTraxx.Europe (Europe). BDS test (Brock, Dechert, & Scheinkman, 1987) is employed to test...

Persistent link: https://www.econbiz.de/10013086596