Detecting states of distress in financial markets: the case of the Italian sovereign debt

DOI10.1007/978-3-031-16609-9_13MaRDI QIDQ6614824

Maria Flora, Roberto Renò

Publication date: 8 October 2024

zbMATH Keywords

financial distressdrift burst testItalian bonds

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Financial econometric analysis at ultra-high frequency: Data handling concerns
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• The drift burst hypothesis
• Continuous Auctions and Insider Trading
• Collective synchronization and high frequency systemic instabilities in financial markets
• Cross-impact and no-dynamic-arbitrage
• Mini flash crashes: Review, taxonomy and policy responses

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