This article provides new evidence on the dynamic dependences of European corporate credit spread in three markets: bond, Credit Default Swap (CDS) and Asset Swap (ASP). Using daily data from 2005 to 2011, we find that credit spread returns are primarily driven by innovations. The intra-market...

The objective of this article is twofold. The first is to incorporate mental accounting, loss-aversion, asymmetric risk-taking behaviour and probability weighting in a multi-period portfolio optimization for individual investors. While these behavioural biases have previously been identified in...

The aim of this article is 2-fold: first to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns and return's extreme distributional...