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A Poisson process with random intensity for modeling financial stability

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dc.contributor.author İlalan, Deniz
dc.date.accessioned 2022-03-04T12:22:41Z
dc.date.available 2022-03-04T12:22:41Z
dc.date.issued 2016
dc.identifier.citation İlalan, Deniz (2016). "A Poisson process with random intensity for modeling financial stability", Spanish Review of Financial Economics, Vol. 14, No. 2, pp. 43-50. tr_TR
dc.identifier.issn 2173-1268
dc.identifier.uri http://hdl.handle.net/20.500.12416/5076
dc.description.abstract 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 indices, namely Japan Nikkei 225, US Dow Jones Industrial Average and Turkish BIST 100 are analyzed. Simulation results indicate that in stable markets, we encounter fewer unpredictable unknowns compared to unstable ones. However, it is also shown that stable markets are more prone to severe financial crises. © 2015 Asociación Española de Finanzas tr_TR
dc.language.iso eng tr_TR
dc.relation.isversionof 10.1016/j.srfe.2015.10.001 tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.subject Financial Stability tr_TR
dc.subject Poisson Process tr_TR
dc.subject Random Intensity tr_TR
dc.subject Unpredictable Unknown tr_TR
dc.title A Poisson process with random intensity for modeling financial stability tr_TR
dc.type article tr_TR
dc.relation.journal Spanish Review of Financial Economics tr_TR
dc.identifier.volume 14 tr_TR
dc.identifier.issue 2 tr_TR
dc.identifier.startpage 43 tr_TR
dc.identifier.endpage 50 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümü tr_TR


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