Finance

Patrick J. Laub, Young Lee and Thomas Taimre
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Patrick J. Laub: University of Melbourne, Faculty of Business and Economics
Young Lee: Harvard University, Faculty of Arts and Sciences
Thomas Taimre: The University of Queensland, School of Mathematics and Physics

Chapter Chapter 12 in The Elements of Hawkes Processes, 2021, pp 113-123 from Springer

Abstract: Abstract Finance is one domain where mutually exciting Hawkes processes are particularly interesting. The global financial crisis was a painful lesson in the unobserved interdependencies of our financial systems. In the literature, there is the term ‘financial contagion’ to describe the effect of a financial event in one firm or asset impacting other firms or assets like a virus. The mutually exciting Hawkes model is obviously a useful model for any financial risk manager.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-84639-8_12

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DOI: 10.1007/978-3-030-84639-8_12

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