Branger, Nicole; Grüning, Patrick; Kraft, Holger; … - 2013 - This version: November 18, 2013
We analyze the equilibrium in a two-tree (sector) economy with two regimes. The output of each tree is driven by a jump-diffusion process, and a downward jump in one sector of the economy can (but need not) trigger a shift to a regime where the likelihood of future jumps is generally higher....
