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Recent financial crises have shown the importance of determining the directionality of the influence between financial assets in order to identify the origin of market instabilities. Here, we analyze the correlation between Japan’s Nikkei stock average index (Nikkei 225) and other financial...
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We consider a credit risk model with two industrial sectors, where defaults of corporations would be influenced by two factors. The first factor represents the macro economic condition which would affect the default intensities of the two industrial sectors differently. The second factor...
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