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 examines the recent interactive relationships between the crude oil prices and stock performances of alternative energy companies. The examination was conducted from 2001 to mid-2010, and the sample period is divided into three sub-periods according to two Middle East wars. Different...