Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market

DOI10.1080/14697688.2017.1403155zbMath1400.91609OpenAlexW2780557270MaRDI QIDQ4554423

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Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1403155

zbMATH Keywords

liquidityHawkes processesjump detectiongovernment bondsMTS bond market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Cross-impact and no-dynamic-arbitrage ⋮ Surrender contagion in life insurance

Cites Work

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• Maximum likelihood estimation of Hawkes' self-exciting point processes
• Modelling security market events in continuous time: intensity based, multivariate point process models
• Risk, jumps, and diversification
• The asymptotic behaviour of maximum likelihood estimators for stationary point processes
• Mean-field inference of Hawkes point processes
• Multivariate Hawkes processes: an application to financial data
• Modelling systemic price cojumps with Hawkes factor models
• Spectra of some self-exciting and mutually exciting point processes
• Estimating value-at-risk: a point process approach

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