Modeling Financial Contagion Using Mutually Exciting Jump Processes
NBER Working Paper No. 15850
---- Acknowledgements -----
We are grateful to seminar and conference participants at Cornell, Princeton, Tilburg, Toulouse, City University of London, University of Melbourne, University of Technology Sydney, the AFMATH Conference in Brussels, the Cambridge-Princeton Conference and the TCF Workshop on Lessons from the Credit Crisis, and in particular to Kenneth Lindsay, for their comments and suggestions. This research was funded in part by the NSF under grant SES-0850533 (Aït-Sahalia) and by the NWO under grants Veni-2006 and Vidi-2009 (Laeven). Matlab code to implement the estimation procedure developed in this paper is available from the authors upon request. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.