Modelling jumps with CARMA(p,q)-Hawkes : an application to corporate bond markets
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
| Year of publication: |
2025
|
|---|---|
| Authors: | Mercuri, Lorenzo ; Perchiazzo, Andrea ; Rroji, Edit |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 73.2025, Art.-No. 106563, p. 1-9
|
| Subject: | CARMA | Green bonds | Hawkes | Jumps | Unternehmensanleihe | Corporate bond | Anleihe | Bond | Rentenmarkt | Bond market | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.106563 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015210073