Now showing items 1-2 of 2
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
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 ...
BEA's national economic accounts provide a comprehensive picture of the U.S. economy and feature many macroeconomic statistics.