Models are the medium by which we reflect and express our understanding of some aspect of reality, a particular unknown of interest. As it is virtually impossible to grasp any situation in its entire complexity, models are representations of reality that are always partial resulting in a state...

Credit default swap (CDS) spreads measure the default risk of the reference entity and have been frequently used in recent empirical papers. To provide a rigorous econometrics foundation for empirical CDS analysis, this paper applies the augmented Dickey-Fuller, Phillips-Perron,...

This dissertation consists of three related chapters that study financial market volatility,jumps and the economic factors behind them. Each of the chapters analyzes adifferent aspect of this problem.The first chapter examines tests for jumps based on recent asymptotic results.Monte Carlo...