- About this Journal ·
- Abstracting and Indexing ·
- Aims and Scope ·
- Article Processing Charges ·
- Author Guidelines ·
- Bibliographic Information ·
- Citations to this Journal ·
- Contact Information ·
- Editorial Board ·
- Editorial Workflow ·
- Free eTOC Alerts ·
- Publication Ethics ·
- Recently Accepted Articles ·
- Reviewers Acknowledgment ·
- Submit a Manuscript ·
- Subscription Information ·
- Table of Contents
Economics Research International
Volume 2011 (2011), Article ID 708704, 12 pages
Testing for Nonlinear Dependence in the Credit Default Swap Market
J.E. Cairnes School of Business & Economics, National University of Ireland Galway, University Road, Galway, Ireland
Received 14 December 2010; Revised 28 February 2011; Accepted 7 March 2011
Academic Editor: James E. Payne
Copyright © 2011 Kitty Moloney and Srinivas Raghavendra. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
- T. Bollerslev, “Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics, vol. 31, no. 3, pp. 307–327, 1986.
- P. Embrechts, A. McNeil, and R. Frey, Quantitative Risk Management, Princeton University Press, Princeton, NJ, USA, 2005.
- C. European Union, “Derivatives In Crisis: Safeguarding Financial Stability,” Brussels, Belgium, EU Commission, 2009, http://ec.europa.eu/internal_market/financial-markets/docs/derivatives/conference092009/agenda_en.pdf.
- C. Kyrtsou and A. Serletis, “Univariate tests for nonlinear structure,” Journal of Macroeconomics, vol. 28, no. 1, pp. 154–168, 2006.
- A. Serletis, A. G. Malliaris, M. J. Hinich, and P. Gogas, “Episodic nonlinearity in leading global currencies,” Open Economies Review. 2011.
- S. Moshiri, “Testing for Deterministic Chaos in Futures Crude Oil Price: Does Neural Network Lead to Better Forecast?” Economics, Working Paper, vol. 5, 2004.
- L. Li and B. Mizrach, “Tail return analysis of Bear Stearns' credit default swaps,” Economic Modelling, vol. 27, no. 6, pp. 1529–1536, 2010.
- R. Blanco, S. Brennan, and I. W. Marsh, “An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps,” Journal of Finance, vol. 60, no. 5, pp. 2255–2281, 2005.
- C. Cao, F. Yu, and Z. Zhong, “The information content of option-implied volatility for credit default swap valuation,” Journal of Financial Markets, vol. 13, no. 3, pp. 321–343, 2010.
- V. Coudert and M. Gex, “Contagion inside the credit default swaps market: the case of the GM and Ford crisis in 2005,” Journal of International Financial Markets, Institutions and Money, vol. 20, no. 2, pp. 109–134, 2010.
- M. D. Delis and N. Mylonidis, “The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps,” Finance Research Letters. 2011.
- P. Jorion and G. Zhang, “Good and bad credit contagion: evidence from credit default swaps,” Journal of Financial Economics, vol. 84, no. 3, pp. 860–883, 2007.
- D. X. Li, “On default correlation: a copula function approach,” Journal of Fixed Income, vol. 9, pp. 43–55, 2000.
- Y. H. Chen, A. H. Tu, and K. Wang, “Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: evidence from Japan,” Journal of International Financial Markets, Institutions and Money, vol. 18, no. 3, pp. 259–271, 2008.
- G. Frahm, M. Junker, and R. Schmidt, “Estimating the tail-dependence coefficient: properties and pitfalls,” Insurance: Mathematics and Economics, vol. 37, no. 1, pp. 80–100, 2005.
- J. C. Hull and A. White, “Valuing Credit Default Swaps II: modelling default correlations,” The Journal of Derivatives, vol. 8, no. 3, pp. 12–22, 2001.
- W. A. Brock, W. D. Dechert, B. Lebaron, and S. Jose, “A Test for Independence Based on the Correlation Dimension,” 1995, Working Paper, University of Wisconsin at Madison, University of Houston, and University of Chicago.
- C. Diks, “Detecting serial dependence in tail events: a test dual to the BDS test,” Economics Letters, vol. 79, no. 3, pp. 319–324, 2003.
- K. Lin, “The ABC’s of BDS,” Journal of Computational Intelligence in Finance, vol. 5, pp. 23–26, 1997.
- W. A. Brock and C. L. Sayers, “Is the business cycle characterized by deterministic chaos?” Journal of Monetary Economics, vol. 22, no. 1, pp. 71–90, 1988.
- G. M. Caporale, C. Ntantamis, T. Pantelidis, and N. Pittis, “The BDS test as a test for the adequacy of a GARCH(1,1) specification: a Monte Carlo study,” Journal of Financial Econometrics, vol. 3, no. 2, pp. 282–309, 2005.
- P. J. F. De Lima, “On the robustness of nonlinearity tests to moment condition failure,” Journal of Econometrics, vol. 76, no. 1-2, pp. 251–280, 1997.
- D. Mengle, “Credit derivatives: an overview,” in Proceedings of the Financial Markets Conference, Federal Reserve Bank of Atlanta: International Swaps and Derivatives Association, 2007.
- J. Felsenheimer, P. Gisdakis, and M. Zaiser, “Credit Derivative Special’. Global Markets Research, European Credit Strategy,” 2004, http://www.scribd.com/doc/19606700/HVB-Group-DJITRAXX-Credit-at-Its-Best.
- E. Jondeau, M. Rockinger, and S.-H. Poon, Financial Modeling Under Non-Gaussian Distribution, Springer, London, UK, 2007.
- K. Patterson, An Introduction to Applied Econometrics, MacMillian, London, UK, 2000.
- W. A. Barnett, A. Medio, and A. Serletis, Nonlinear and Complex Dynamics in Economics, Working Paper Series Washington University, St. Louis, Mo, USA, 1997.
- H. Kantz and T. Schreiber, Non Linear Time Series Analysis, Cambridge University Press, Cambridge, UK, 2nd edition, 2003.
- P. Grassberger and I. Procaccia, “Characterization of strange attractors,” Physical Review Letters, vol. 50, no. 5, pp. 346–349, 1983.
- D. Ruelle, “The Claude Bernard Lecture, 1989. Deterministic chaos: the science and the fiction,” Proceedings of the Royal Society of London. Series A, vol. 427, no. 1873, pp. 241–248, 1990.