Auflistung nach Schlagwort "selfexciting processes"
Anzeige der Dokumente 1-1 von 1
-
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
(2013-04-18)This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ...