DAS, SANJIV RANJAN; UPPAL, RAMAN - In: Journal of Finance 59 (2004) 6, pp. 2809-2834
Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to "systemic risk". We capture these stylized facts using a multivariate system of jump-diffusion processes where the arrival of jumps is simultaneous...