Ait-Sahalia, Yacine; Cacho-Diaz, Julio; Laeven, Roger J.A. - National Bureau of Economic Research (NBER) - 2010
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 introduce a model for asset return dynamics with a...
