Did long-memory of liquidity signal the European sovereign debt crisis?

DOI10.1007/S10479-018-2850-YMaRDI QIDQ2288945zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 20 January 2020

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2262/92149

zbMATH Keywords

long-memoryliquiditysovereign debtEuropean

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• scientific article; zbMATH DE number 5042883 (Why is no real title available?)
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• Estimating long-range dependence: Finite sample properties and confidence intervals
• Large stock price changes: volume or liquidity?
• Long-Term Memory in Stock Market Prices
• Maximum likelihood estimates for positive valued dynamic score models; the DySco package
• Multi-scaling in finance
• Sovereign illiquidity and recessions.
• Statistical physics in foreign exchange currency and stock markets
• Statistics of Extremes
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for a rational bubble under long memory
• The Long Memory of the Efficient Market
• The non-random walk of stock prices: the long-term correlation between signs and sizes
• There's more to volatility than volume

Cited in

(2)

• Detecting market crashes by analysing long-memory effects using high-frequency data
• Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market

Describes a project that uses

Uses Software

• DySco

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