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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

Investigating the nature of nonlinearity in Indian Exchange Traded Funds (ETFs)

Madhavan, Vinodh - In: Managerial finance 40 (2014) 4, pp. 395-415

Persistent link: https://www.econbiz.de/10010344093

Nonlinear dynamics in crude oil benchmarks : an AMH perspective

Varghese, George; Madhavan, Vinodh - In: Applied economics letters 26 (2019) 21, pp. 1798-1801

Persistent link: https://www.econbiz.de/10012204932

Investigating the nature of nonlinearity in Indian Exchange Traded Funds (ETFs)

Madhavan, Vinodh - In: Managerial Finance 40 (2014), pp. 395-415

Purpose -The purpose of this paper is to first, test for nonlinearity in Local Indian Exchange Traded Funds (ETFs) listed at NSE, India – NIFTYBEES, JUNIORBEES, BANKBEES, PSUBANKBEES, and INFRABEES – using a battery of nonlinearity tests; second, to ascertain, using both metric and...

Persistent link: https://www.econbiz.de/10010814875

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

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/10010729326

Investigating the nature of nonlinearity in Indian Exchange Traded Funds (ETFs)

Madhavan, Vinodh - In: Managerial Finance 40 (2014) 4, pp. 395-415

Purpose – The purpose of this paper is to first, test for nonlinearity in Local Indian Exchange Traded Funds (ETFs) listed at NSE, India – NIFTYBEES, JUNIORBEES, BANKBEES, PSUBANKBEES, and INFRABEES – using a battery of nonlinearity tests; second, to ascertain, using both metric and...

Persistent link: https://www.econbiz.de/10014941562