Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence
Sign Up to like & getrecommendations! Published in 2018 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2018.02.073
Abstract: This paper deals with the theme of contagion in financial markets. At this aim, we develop a model based on Mixed Poisson Processes to describe the abnormal returns of financial markets of two considered countries.… read more here.
Keywords: mixed poisson; contagion italy; model; contagion ... See more keywords