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Search: subject:"Mutual excitation"
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Ansteckungseffekt
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Ge, Shuyi
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Erdemlioglu, Deniz
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Hurd, T. R.
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Li, Shuanming
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ECONIS (ZBW)
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A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
Ge, Shuyi
- In:
Journal of economic dynamics & control
146
(
2023
),
pp. 1-30
Persistent link: https://www.econbiz.de/10014478151
Saved in:
2
A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
Ge, Shuyi
-
2020
Persistent link: https://www.econbiz.de/10013206477
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3
Stochastic asset allocation and reinsurance game under contagious claims
Liu, Guo
;
Zhuo, Jin
;
Li, Shuanming
;
Zhang, Jiannan
- In:
Finance research letters
49
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013479221
Saved in:
4
Testing for mutually exciting jumps and financial flights in high frequency data
Dungey, Mardi H.
;
Erdemlioglu, Deniz
;
Matei, Marius
; …
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10011974551
Saved in:
5
Portfolio choice in markets with contagion
Aït-Sahalia, Yacine
;
Hurd, T. R.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011588523
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