Buongiorno, con piacere segnalo il seguente seminario che si terrà oggi:
-------------------------------- 14 giugno ore 11.00 - aula 101, campus Perrone, via Perrone, 18, Novara. Università del Piemonte Orientale. - on-line: meet.google.com/yvq-ccbt-pzt
Title:* On the microstructure of green bonds*
*Prof. Edit Rroji* University of Milano Bicocca - DISMEQ
Abstract: The idea of this paper is to investigate differences in brown and green bonds from the lens of the trading activity. Our research exploits the idea that positive and negative jumps in the dynamics of returns have a specific memory nature that can be modelled through a self-exciting process. We investigate the microscopic structure and properties of high-frequency series of green and brown bonds using Hawkes type processes where the kernel is a CARMA(p,q) model. Empirical results suggest that the bid-ask spread of green bonds on average is larger for bonds issued by a financial institution while the opposite happens for bonds issued by a non financial company. Moreover, we observe that the intensities respectively of positive and negative jumps in the price dynamics are not stationary through time. Higher order bivariate Hawkes models provide better fitting results in our datasets, especially for the issuer that operates in the energy sector.
This presentation is based on a joint work with Lorenzo Mercuri (University of Milan) and Andrea Perchiazzo (Vrije Universiteit Brussel).
----------------------------------- Locandina dell'evento https://drive.google.com/file/d/1NunY3uhobfzBtP0qUUbxLJpnqcvFn4JM/view?usp=drive_link Seminari Matematici Statistici https://sites.google.com/uniupo.it/seminari-ms/home-page -----------------------------------
Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Enea
-- Enea Bongiorno,PhD Associate Professor of Statistics Università degli Studi del Piemonte Orientale Via Perrone 18, 28100, Novara, Italia Phone: +390321375317 enea.bongiorno@uniupo.it upobook.uniupo.it/enea.bongiorno Seminari Matematici Statistici https://sites.google.com/uniupo.it/seminari-ms/home-page