A Markov Chain Model for Contagion
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References listed on IDEAS
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013.
"Modelling microstructure noise with mutually exciting point processes,"
Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422, arXiv.org.
- Chavez-Demoulin, V. & McGill, J.A., 2012. "High-frequency financial data modeling using Hawkes processes," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3415-3426.
- Dassios, Angelos & Zhao, Hongbiao, 2012. "Ruin by dynamic contagion claims," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 93-106.
More about this item
Keywordsrisk model; contagion risk; bivariate point process; Markov chain model; discretised dynamic contagion process; dynamic contagion process;
- C - Mathematical and Quantitative Methods
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
- M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
- M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
- K2 - Law and Economics - - Regulation and Business Law
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