articleJournal of Financial EconomicsMar 12, 2015Closed access

Modeling financial contagion using mutually exciting jump processes

YAYacine Aı̈t-SahaliaJCJulio Cacho-DiazRJRoger J. A. Laeven

Princeton University · University of Amsterdam

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Citation impact

575
total citations
FWCI
79.72
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100%
References
91
Citations per year

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3

Topics & keywords

Topics
Keywords
  • Jump
  • Excitation
  • Econometrics
  • Financial market
  • Asset (computer security)
  • Measure (data warehouse)
  • Moment (physics)
  • Economics
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