Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of Economic Dynamics and Control 37 (2013) 11, pp. 2241-2269
This paper studies the problem of disentangling risk correlation and contagion in a set of individual binary processes. The two admissible values correspond to bad and good risk states of an individual. The risk correlation is captured by introducing a dynamic frailty, whereas the contagion...