Aït-Sahalia, Yacine; Cacho-Diaz, Julio; J.A. Laeven, Roger - National Bureau of Economic Research <Cambridge, Mass.> - 2010
Adverse shocks to stock markets propagate across the world, with a jump in one region of the worldseemingly causing an increase in the likelihood of a different jump in another region of the world.To capture this effect mathematically, we introduce a model for asset return dynamics with a...
