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X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZOFFSETFROM:-0600
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DTSTART:20230312T080000
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DTSTART:20231105T070000
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DTSTART;TZID=America/Chicago:20231027T120000
DTEND;TZID=America/Chicago:20231027T130000
DTSTAMP:20260521T025421
CREATED:20230828T161431Z
LAST-MODIFIED:20230828T161431Z
UID:1181-1698408000-1698411600@www.math.ttu.edu
SUMMARY:Investigating Short-Term Dynamics in Green Bond Markets
DESCRIPTION:Speaker: Prof. Lorenzo Mercuri\, Dept. of Economics\, Management & Quantitative Finance Methods\, University of Milan \nAbstract: The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting process. Specifically\, using Hawkes processes where the intensity is described through a continuous time moving average model\, we study the high frequency dynamics of bond prices. We also introduce a bivariate extension of the model that deals with the cross-effect of upward and downward price movements. Empirical results suggest that differences emerge if we consider periods with relevant interest rate announcements\, especially in the case of an issuer operating in the energy market.
URL:https://www.math.ttu.edu/mathematicalfinance/event/investigating-short-term-dynamics-in-green-bond-markets/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/mercuri.jpg
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