This article proposes an alternative approach of Value-at-Risk (VaR) estimation. Financial assets are known to have irregular return patterns; not only the volatility but also the distribution functions themselves may vary with time. Therefore, traditional time-series models of VaR estimation...

Given the vast growth in credit default swap (CDS) market over the last few years, a dramatic improvement is projected in pricing discovery of sovereign CDS as well as its interaction with the underlying bond markets. In this article, a recent comprehensive sample of 20 sovereign CDS spreads,...

This paper finds that the dynamics of stock price continuation are asymmetrical, in terms of both business cycles and past performances. During times of recession, stock returns are explained differently for past losers and winners; the level of credit quality dominates the return dynamics for...