Mutual excitation in Eurozone sovereign CDS

DOI10.1016/j.jeconom.2014.05.006zbMath1312.91089OpenAlexW3123757663MaRDI QIDQ473225

Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon

Publication date: 24 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.05.006

zbMATH Keywords

jumpsfeedbackHawkes processessystemic riskCDSimpulse-responsemutually exciting processessovereign risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Affine Point Processes and Portfolio Credit Risk
• Wald Tests and Systems of Stochastic Equations
• A cluster process representation of a self-exciting process
• The Markovian self-exciting process
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Measuring Systematic Risk in EMU Government Yield Spreads *
• Spectra of some self-exciting and mutually exciting point processes

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