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

Lorenzo Mercuri, Andrea Perchiazzo and Edit Rroji

Finance Research Letters, 2025, vol. 73, issue C

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.

Keywords: Hawkes; CARMA; Jumps; Green bonds (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324015927

DOI: 10.1016/j.frl.2024.106563

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