Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-12-11 DOI:10.1016/j.frl.2024.106563

Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji

引用次数: 0

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.

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在本文中，我们采用 CARMA(p,q)-Hawkes 模型来研究公司债券价格中观察到的盘中跳动。我们引入了该模型的双变量扩展，以处理价格上下波动的交叉效应。我们对具有类似特征的绿色和棕色债券进行了实证分析。研究结果表明，与指数核的霍克斯模型相比，高阶单变量/双变量 CARMA（p,q）-霍克斯模型能更好地拟合跳跃活动。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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