Portfolio Choice in Markets with Contagion-Reference-Cited by-同舟云学术

Portfolio Choice in Markets with Contagion

Published:2015-12 Issue:1 Volume:14 Page:1-28
ISSN:1479-8409
Container-title:Journal of Financial Econometrics
language:en
Short-container-title:JOURNAL OF FINANCIAL ECONOMETRICS

Author:

Aït-Sahalia Yacine,Hurd Thomas Robert

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance

Link

http://academic.oup.com/jfec/article-pdf/14/1/1/7194948/nbv024.pdf

Reference35 articles.

1. Optimum portfolio diversification in a general continuous-time model

2. Portfolio choice with jumps: A closed-form solution

3. Modeling financial contagion using mutually exciting jump processes

4. Aït-Sahalia, Y., and R. J. Laeven. 2015. Risk Management When Financial Institutions Can Get in Trouble Together. Technical Report, Princeton University.

5. Mutual excitation in Eurozone sovereign CDS

Cited by 65 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Dynamic volatility among fossil energy, clean energy and major assets: evidence from the novel DCC-GARCH;Economic Change and Restructuring;2024-04-12

2. Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model;Journal of Optimization Theory and Applications;2024-04-10

3. Volatility and jump with intraday periodicity and truncated power variation in Chinese yuan-US dollar exchange rates;Asia-Pacific Journal of Accounting & Economics;2024-03-08

4. Stochastic control for diffusions with self-exciting jumps: An overview;Mathematical Control and Related Fields;2024

5. Joint calibration of VIX and VXX options: does volatility clustering matter?;The European Journal of Finance;2023-12-30