Cyber Risk Contagion
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Heinen, Andreas & Rengifo, Erick, 2007. "Multivariate autoregressive modeling of time series count data using copulas," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 564-583, September.
- Lando, David & Nielsen, Mads Stenbo, 2010. "Correlation in corporate defaults: Contagion or conditional independence?," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 355-372, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Escribano, Ana & Maggi, Mario, 2019. "Intersectoral default contagion: A multivariate Poisson autoregression analysis," Economic Modelling, Elsevier, vol. 82(C), pages 376-400.
- BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," LIDAM Discussion Papers CORE 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Matteo Iacopini & Carlo R.M.A. Santagiustina, 2021.
"Filtering the intensity of public concern from social media count data with jumps,"
Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(4), pages 1283-1302, October.
- Matteo Iacopini & Carlo R. M. A. Santagiustina, 2020. "Filtering the intensity of public concern from social media count data with jumps," Papers 2012.13267, arXiv.org.
- Xiao, Tim, 2018.
"The Valuation of Credit Default Swap with Counterparty Risk and Collateralization,"
EconStor Preprints
203447, ZBW - Leibniz Information Centre for Economics.
- Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," FrenXiv 6m73z, Center for Open Science.
- Tim Xiao, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," Working Papers hal-02174170, HAL.
- Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," arabixiv.org j9hkn, Center for Open Science.
- Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," SocArXiv 3pzyv, Center for Open Science.
- Hwang, Ruey-Ching & Chu, Chih-Kang & Yu, Kaizhi, 2020. "Predicting LGD distributions with mixed continuous and discrete ordinal outcomes," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1003-1022.
- Jaqueline Terra Moura Marins & Myrian Beatriz Eiras das Neves, 2013. "Inadimplência de Crédito e Ciclo Econômico: um exame da relação no mercado brasileiro de crédito corporativo," Working Papers Series 304, Central Bank of Brazil, Research Department.
- Azizpour, S & Giesecke, K. & Schwenkler, G., 2018. "Exploring the sources of default clustering," Journal of Financial Economics, Elsevier, vol. 129(1), pages 154-183.
- Nikolaus Hautsch & Vahidin Jeleskovic, 2008. "Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models," SFB 649 Discussion Papers SFB649DP2008-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Xiao,Tim, 2018.
"Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization,"
EconStor Preprints
202075, ZBW - Leibniz Information Centre for Economics.
- Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," arabixiv.org 86xhw, Center for Open Science.
- Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," MPRA Paper 94441, University Library of Munich, Germany.
- Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," SocArXiv 84xjn, Center for Open Science.
- Tim Xiao, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," Working Papers hal-02024147, HAL.
- Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," FrenXiv ej7nz, Center for Open Science.
- Fokianos, Konstantinos & Fried, Roland & Kharin, Yuriy & Voloshko, Valeriy, 2022. "Statistical analysis of multivariate discrete-valued time series," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
- Eugenio J. Miravete, 2009.
"Competing with Menus of Tariff Options,"
Journal of the European Economic Association, MIT Press, vol. 7(1), pages 188-205, March.
- Eugenio Miravete, 2007. "“Competing with Menus of Tariff Options”," Working Papers 07-02, NET Institute, revised Jul 2007.
- Miravete, Eugenio, 2007. "Competing with Menus of Tariff Options," CEPR Discussion Papers 6279, C.E.P.R. Discussion Papers.
- Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012.
"Survival of Hedge Funds : Frailty vs Contagion,"
Working Papers
2012-36, Center for Research in Economics and Statistics.
- Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2013. "Survival of Hedge Funds: Frailty vs Contagion," Post-Print hal-01632897, HAL.
- Charitou, Andreas & Dionysiou, Dionysia & Lambertides, Neophytos & Trigeorgis, Lenos, 2013. "Alternative bankruptcy prediction models using option-pricing theory," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2329-2341.
- White, Alan, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 85331, University Library of Munich, Germany.
- Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017.
"Specification Testing in Hawkes Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 139-171.
- Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Specification Testing in Hawkes Models," Tinbergen Institute Discussion Papers 15-086/III, Tinbergen Institute.
- Dag Tjøstheim, 2012. "Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 413-438, September.
- Gouriéroux, C. & Monfort, A. & Renne, J.P., 2014.
"Pricing default events: Surprise, exogeneity and contagion,"
Journal of Econometrics, Elsevier, vol. 182(2), pages 397-411.
- Gouriéroux, C. & Monfort, A. & Renne, J-P., 2013. "Pricing Default Events: Surprise, Exogeneity and Contagion," Working papers 455, Banque de France.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013. "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers 2013-03, Center for Research in Economics and Statistics.
- Giesecke, Kay & Schwenkler, Gustavo, 2018. "Filtered likelihood for point processes," Journal of Econometrics, Elsevier, vol. 204(1), pages 33-53.
- Siem Jan Koopman & Rutger Lit & André Lucas & Anne Opschoor, 2018. "Dynamic discrete copula models for high‐frequency stock price changes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 966-985, November.
- Fantazzini, Dean, 2020. "Discussing copulas with Sergey Aivazian: a memoir," MPRA Paper 102317, University Library of Munich, Germany.
More about this item
Keywords
cyber risk; contagion; autoregressive models;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:11:y:2023:i:9:p:165-:d:1242949. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.