Modeling financial contagion using mutually exciting jump processes

Journal of Financial Economics

Volumn 117, Issue 3, 2015, Pages 585-606

  Aït Sahalia, Yacine ^a,b   Cacho Diaz, Julio ^a   Laeven, Roger J A ^c,d,e  

^a PRINCETON UNIVERSITY   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c UNIVERSITY OF AMSTERDAM   (Netherlands)

^d EURANDOM   (Netherlands)

^e CentER ^*  (Netherlands)

Author keywords

Contagion; Crisis; Hawkes process; Jumps; Self and mutually exciting processes

Indexed keywords

EID: 84937147877     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2015.03.002     Document Type: Article

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