In this paper we investigate the price discovery process in single-name credit spreads obtained from bond, credit default swap (CDS), equity and equity option prices. We analyse short term price discovery by modelling daily changes in credit spreads in the four markets with a vector...

GARCH processes constitute the major area of time series variance analysis, hence the limit of these processes is of considerable interest for continuous time volatility modelling. The continuous time limit of the GARCH(1,1) model is fundamental for limits of other GARCH processes, yet it has...

Normal mixture GARCH models offer a more intuitive and tractable framework for risk analysis and option pricing than student's t-GARCH models. We present a general, symmetric parameterisation for normal mixture GARCH(1,1) models, with analytic derivatives for the maximum likelihood estimation of...

A new framework for the joint estimation and forecasting of dynamic Value-at-Risk (VaR) and Expected Shortfall (ES) is proposed by incorporating intraday information into a generalized autoregressive score (GAS) model, introduced by Patton, Ziegel, and Chen (2019) to estimate risk measures in a...

The capital structure arbitrage strategy exploits the discrepancies between the credit default swap and equity markets. It assumes that both markets instantaneously react to new information, so it fails to take into account the lead-lag relationships between the prices in the two markets and...