Modeling financial contagion using mutually exciting jump processes
Yacine Aït-Sahalia, Julio Cacho-Diaz, Roger J.A. Laeven
| Year of publication: |
September 2015
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| Authors: | Aït-Sahalia, Yacine ; Cacho-Diaz, Julio ; Laeven, Roger J. A. |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 117.2015, 3, p. 585-606
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| Subject: | Jumps | Contagion | Crisis | Hawkes process | Self- and mutually exciting processes | Ansteckungseffekt | Contagion effect | Theorie | Theory | Volatilität | Volatility | Finanzmarkt | Financial market | Finanzkrise | Financial crisis | Schock | Shock | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Industrieländer | Industrialized countries |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2015.03.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011480318