• Mutual Excitation in Eurozone Sovereign CDS 

      Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana (2014-05-01)
      We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ...
    • Systemic Co-Jumps 

      Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto (2016-10-10)
      The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and ...
    • When Do Jumps Matter for Portfolio Optimization? 

      Ascheberg, Marius; Branger, Nicole; Kraft, Holger (2015-11-25)
      We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a ...