Search found 1 match
- Thu Jul 26, 2012 11:36 pm
- Forum: Data Manipulation
- Topic: Event Study on CDS spreads
- Replies: 0
- Views: 4131
Event Study on CDS spreads
I want to do an event study for index CDS for 125 companies. The event data is the day of credit rating. I want to see how does a positive or negative credit rating impact the movement of CDS spreads. The total period of study is [-120,90] arounf the event date [0]. The estimation window is [-120,-9...