Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market
M. Schneider, F. Lillo and L. Pelizzon
| 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 | Liquidität | Marktliquidität | Market liquidity | Theorie | Theory | Spillover-Effekt | Spillover effect | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1403155 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011906340