Yasuyuki Kato

Kyoto University

Yoshida-Honmachi

Sakyo-ku

Kyoto, 606-8501

Japan

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Scholarly Papers (1)

1.

An Analysis of CDS Market Liquidity by the Hawkes Process

Number of pages: 34 Posted: 15 Jan 2013 Last Revised: 26 Mar 2013
Masahiko Egami, Yasuyuki Kato and Tomochika Sawaki
Kyoto University, Kyoto University and Independent
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Abstract:

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CDS contract, liquidity, bid-ask spread, the Hawkes process, self-exciting processes, financial crisis, credit risk