Modeling financial contagion using mutually exciting jump processes

By Yacine Aït-Sahalia, Julio Cacho-Diaz, Roger J. A. Laeven. 2015

670 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f38ee3f5cf8b068679d22adc2ed7047901ac626a

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Citations in the corpus

Exploring the sources of default clustering (2018, neutral): “See Aı̈t-Sahalia et al. (2015), Bowsher (2007), Errais, Giesecke & Goldberg (2010), and others.”
Exact simulation of Hawkes process with exponentially decaying intensity (2013, background): “It is also straightforward to implement, and can easily extend to multi-dimensional versions, for further applications in modelling contagion risk or clustering arrival of events in finance, insurance, economics and many other fields.”
Reactive point processes: A new approach to predicting power failures in underground electrical systems (2015, background): “, 2010), finance (Chehrazi and Weber, 2011; Aı̈t-Sahalia et al., 2010; Bacry et al., 2013; Filimonov and Sornette, 2012; Embrechts et al., 2011), computational neuroscience (Johnson, 1996; Krumin et al.”
Hawkes Processes (2015, methodology): “In [28] hypothesis tests reject the Merton diffusion model in favour of the Hawkes diffusion model, however there are no tests for overfitting the data (for example, Akaike or Bayesian information criterion comparisons).”
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (2015, methodology): “In the last years, the probabilistic and statistical analysis of Hawkes processes has known several interesting developments, driven by the recent use of Hawkes processes in various applied fields such as neurosciences [13, 33, 34, 36], sociology [9, 28, 41], criminology [30, 31], genome analysis [3”
Some limit theorems for Hawkes processes and application to financial statistics (2013, background): “(2) In this context, the fact that the Si take values on Z accounts for the discreetness of the price formation under a limit order book.”
Hawkes Processes in Finance (2015, methodology): “A GMM estimation procedure is proposed in [63] based on a closed-form expressions of some moments associated with the returns variations in the monovariate and bivariate cases with exponential Hawkes kernels.”
Multivariate Hawkes processes: an application to financial data (2011, methodology): “For applications of Hawkes process models to finance, see, for instance, [1], [2], [5], [8], and the numerous references therein.”