Madhavan, Vinodh - In: Global Finance Journal 24 (2013) 3, pp. 266-279
exercise, the author has chosen the two most liquid indices, namely CDX.NA.IG (US) and iTraxx.Europe (Europe). BDS test (Brock … differently for BDS and close-returns test. Since the BDS test cannot differentiate between linear and non-linear dependency, a … best-fitting AR model was fitted to the transformed CDS datasets to remove linear-dependency in the data. The BDS test was …