Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market
Year of publication: |
February 2018
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Authors: | Schneider, Michael ; Lillo, Fabrizio ; Pelizzon, Loriana |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 2, p. 283-293
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Subject: | Liquidity | Jump detection | Hawkes processes | Government bonds | ,MTS bond market | Öffentliche Anleihe | Public bond | Rentenmarkt | Bond market | Spillover-Effekt | Spillover effect | Liquidität | Marktliquidität | Market liquidity | Theorie | Theory |
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