order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap (CDS) index we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall level of...

The price staleness is referred to as the extent of the presence of the zero returns in the price dynamics. The proportion of the zero returns could be high in the high-frequency data sets, as pointed by Bandi et al. (2020a). Considering the price staleness as a dynamic system too, in this...

The intraday high-frequency datasets contain several zero returns, which state that no change occurs in two or more consecutive transactions, particularly in the transaction data of in- active securities. In addition, existing approaches to cleaning financial data, such as the previous-tick...