Mutual excitation in Eurozone sovereign CDS
DOI10.1016/J.JECONOM.2014.05.006zbMATH Open1312.91089OpenAlexW3123757663MaRDI QIDQ473225FDOQ473225
Authors: Yacine Aït-Sahalia, Roger J. A. Laevent, Loriana Pelizzon 
Publication date: 24 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.05.006
Recommendations
jumpsfeedbackHawkes processessystemic riskCDSimpulse-responsemutually exciting processessovereign risk
Applications of continuous-time Markov processes on discrete state spaces (60J28) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
Cites Work
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- Transform Analysis and Asset Pricing for Affine Jump-diffusions
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- Wald Tests and Systems of Stochastic Equations
- Measuring Systematic Risk in EMU Government Yield Spreads *
Cited In (31)
- Surrender contagion in life insurance
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Clustered Lévy processes and their financial applications
- A switching self-exciting jump diffusion process for stock prices
- Infinitely stochastic micro reserving
- Testing for mutually exciting jumps and financial flights in high frequency data
- Cyber risk modeling: a discrete multivariate count process approach
- Testing for jumps and jump intensity path dependence
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
- Hawkes Processes Modeling, Inference, and Control: An Overview
- Constant proportion portfolio insurance strategies in contagious markets
- COVID-19 and credit risk: a long memory perspective
- Efficient simulation of Lévy-driven point processes
- Household lifetime strategies under a self-contagious market
- Contagion modeling between the financial and insurance markets with time changed processes
- Data-Driven Approach for Systemic Risk: A Macroprudential Perspective
- Extracting the sovereigns' CDS market hierarchy: a correlation-filtering approach
- The effect of credit rating events on the emerging CDS market
- Sovereign risk zones in Europe during and after the debt crisis
- Spillover dynamics for systemic risk measurement using spatial financial time series models
- A model for interest rates with clustering effects
- Filtered likelihood for point processes
- Nonparametric estimation of jump characteristics under market microstructure noise
- A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
- Affine arbitrage-free yield net models with application to the euro debt crisis
- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process
- Smooth transition simultaneous equation models
- Precise deviations for Hawkes processes
- Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities
- Mean-variance portfolio selection in contagious markets
- Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
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