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Asymmetric convergence in US financial credit default swap sector index markets

✍ Scribed by Li-Hsueh Chen; Shawkat Hammoudeh; Yuan Yuan


Book ID
113871802
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
476 KB
Volume
51
Category
Article
ISSN
1062-9769

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## Abstract The introduction of exchange‐traded credit default swap (CDS) index futures is eminent and this development in the credit market is the subject of this article. A theoretically appealing and practically implementable approach to computing accurate futures margins based on extreme value