Financial contagion through space-time point processes

DOI10.1007/S10260-020-00538-2zbMath1480.91299OpenAlexW3041481402MaRDI QIDQ2059116

Marcello Chiodi, Giada Adelfio, Paolo Giudici, Arianna Agosto

Publication date: 13 December 2021

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-020-00538-2

zbMATH Keywords

credit riskspace-time point processescontagion models

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (3)

The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach ⋮ Including covariates in a space-time point process with application to seismicity ⋮ Effective transfer entropy to measure information flows in credit markets

Uses Software

• etasFLP

Cites Work

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