The credit risk on the bond market is characterized by the possible default of a counterparty, but also by changes in the spread following a perceived deterioration, by the market, of the credit quality of the issuer. This thesis focuses on credit spreads on corporate bond market in euros....

We study the dynamical behavior of high-frequency data from the Korean Stock Price Index (KOSPI) using the movement of returns in Korean financial markets. The dynamical behavior of a binarized series of our models is not completely random. In addition, the conditional probability is numerically...