Modeling financial contagion using mutually exciting jump processes

Keyphrases

• Asset Returns 50%
• Contagion 50%
• Estimation Method 50%
• Financial Contagion 100%
• Global Market 100%
• Jump Intensity 100%
• Jump Process 100%
• Market Stress 50%
• Moment Estimation 50%
• Out-of-sample Forecasting 50%
• Self-excitation 100%
• Testing Procedures 50%
• US Market 50%

Economics, Econometrics and Finance

• Contagion Effect 100%