Modeling financial contagion using mutually exciting jump processes
Year of publication: |
September 2015
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Authors: | Aït-Sahalia, Yacine ; Cacho-Diaz, Julio ; Laeven, Roger J. A. |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 117.2015, 3, p. 585-606
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Subject: | Jumps | Contagion | Crisis | Hawkes process | Self- and mutually exciting processes | Theorie | Theory | Volatilität | Volatility | Ansteckungseffekt | Contagion effect | Finanzmarkt | Financial market | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Schock | Shock | Finanzkrise | Financial crisis |
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