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.
Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets / L. Mercuri, A. Perchiazzo, E. Rroji. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6131. - 73:(2025 Mar), pp. 106563.1-106563.9. [10.1016/j.frl.2024.106563]
Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets
L. Mercuri
Primo
;A. PerchiazzoSecondo
;
2025
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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