The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the...

We examine price discovery in the Credit Default Swap and corporate bond market. By using a Markov switching framework we are able to analyze the dynamic behavior of the information shares during tranquil and crisis periods. The results show that price discovery takes place mostly on the CDS...

We implement multivariate, self-exciting Peaks-over-Threshold (POT) methods to measure extremal losses in high-frequency return series of cryptocurrencies. For that purpose, we implement trivariate Hawkes-POT and the autoregressive conditional intensity ACI-POT models for Bitcoin, Ethereum, and...