Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets
Year: 2024
Type: article
Abstract: In this paper, we employ the CARMA(p,q)-Hawkes model to investigate the intraday jumps observed in the corporate bond prices. We introduce a bivariate extension of the model, which deals with the cross-effect of upward and downward price movements. An empirical analysis is conducted on green and brown bonds with analogous characteristics. The findings indicate that higher-order univariate/bivariate CARMA(p,q)-Hawkes models produce a superior fit in jump activity with respect to Hawkes models with exponential kernels.
Source: Finance research letters
Authors: Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,350
Funders: Department of Economics, University of Maryland, Baltimore County, Istituto Nazionale di Alta Matematica "Francesco Severi", Università degli Studi di Milano-Bicocca, Ministero dell’Istruzione, dell’Università e della Ricerca, Gruppo Nazionale per l'Analisi Matematica, la Probabilità e le loro Applicazioni, Core Research for Evolutional Science and Technology
OpenAlex ID: W4405287162