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,MTS bond market
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Hawkes processes
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Schneider, Michael
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Quantitative finance
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
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Working paper / National Bureau of Economic Research, Inc.
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European journal of operational research : EJOR
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Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market
Schneider, Michael
;
Lillo, Fabrizio
;
Pelizzon, Loriana
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 283-293
Persistent link: https://www.econbiz.de/10011906340
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2
Cross-impact and no-dynamic-arbitrage
Schneider, Michael
;
Lillo, F.
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 137-154
Persistent link: https://www.econbiz.de/10012194626
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