Work

Modeling financial contagion using mutually exciting jump processes

Year: 2015

Type: article

Source: Journal of Financial Economics

DOI: 10.1016/j.jfineco.2015.03.002

Authors: Yacine Aït-Sahalia, Julio Cacho-Diaz, Roger J.A. Laeven

Institutions: Princeton University, University of Amsterdam

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funders: National Science Foundation, Nederlandse Organisatie voor Wetenschappelijk Onderzoek

Awards: G3951659401, Specification Analysis of Continuous-Time Models, G8234336021

OpenAlex ID: W2136536070

FWCI: 99.36

Cites: 88

Cited by: 575

Related to: 10