Modeling Financial Contagion Using Mutually Exciting Jump Processes
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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
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美国国家经济研究局创建时间：
2010-03-01
