A Poisson process with random intensity for modeling financial stability

Stock market crashes are hazardous for financial stability and usually modeled via Poisson processes having a predetermined fixed intensity. This study uses a more general framework by allowing the intensity to be random in order to model rare events called the “unpredictable unknowns”. Three stock...

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Bibliographic details
Volume: 14
Main Author: Ilalan, Deniz
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: Elsevier España, S.L.U 01.07.2016
Elsevier B.V
published in: The Spanish review of financial economics Vol. 14; no. 2; pp. 43 - 50
Data of publication: July-December 2016
ISSN: 2173-1268
EISSN: 2340-3381
Discipline: Business
Online Access: available in Bonn?
Database: CrossRef
Academic OneFile (A&I only)
Database information Databases - DBIS