-expected utility (ambiguity aversion and prospect theory) objectives and characterize their market-timing, horizon effects, and hedging …

Adverse shocks to stock markets propagate across the world, with a jump in one region of the world seemingly causing an … increase in the likelihood of a different jump in another region of the world. To capture this effect mathematically, we … Hawkes processes. In the model, a jump in one region of the world or one segment of the market increases the intensity of …