Modeling Financial Contagion Using Mutually Exciting Jump Processes
收藏NBER2010-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w15850
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资源简介：
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 drift
提供机构：
美国国家经济研究局
创建时间：
2010-03-01
