153 citations · 163 across the 6 of their papers we have counts for
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q-fin.MF2018★ 3 cited
An Economic Bubble Model and Its First Passage Time
Angelos Dassios, Luting Li
We introduce a new diffusion process Xt to describe asset prices within an economic bubble cycle. The main feature of the process, which differs from existing models, is the drift…
q-fin.MF2014
Stationarity of Bivariate Dynamic Contagion Processes
Angelos Dassios, Xin Dong
The Bivariate Dynamic Contagion Processes (BDCP) are a broad class of bivariate point processes characterized by the intensities as a general class of piecewise deterministic Marko…