Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market (Q4554423)
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scientific article; zbMATH DE number 6979462
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| English | Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market |
scientific article; zbMATH DE number 6979462 |
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Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market (English)
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14 November 2018
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liquidity
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jump detection
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Hawkes processes
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government bonds
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MTS bond market
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0.7163100242614746
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0.7089880704879761
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0.6888109445571899
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0.6860993504524231
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