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Empirical evidence on jumps in the term structure of the US treasury market
Citation
Dungey, MH and McKenzie, M and Smith, V, Empirical evidence on jumps in the term structure of the US treasury market, Journal of Empirical Finance, 16, (3) pp. 430-445. ISSN 0927-5398 (2009) [Refereed Article]
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DOI: doi:10.1016/j.jempfin.2008.12.002
Abstract
The dynamics of US Treasury prices may be interrupted by jumps, and cojumps — where these occur simultaneously across the term structure. This paper finds significant evidence of jumps and cojumps in the US term structure using the Cantor-Fitzgerald tick dataset sampled over the period 2002–2006. While cojumping is frequently found in response to scheduled macroeconomic news announcement, around one-fifth of cojumps occur independently of news. The results are discussed in relation to term structure theories, day of the week effects, asymmetric news effects and trading volume.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | US Treasuries; High frequency; Realized variance; Jumps; Cojumping |
| Research Division: | Commerce, Management, Tourism and Services |
| Research Group: | Banking, Finance and Investment |
| Research Field: | Financial Econometrics |
| Objective Division: | Commercial Services and Tourism |
| Objective Group: | Financial Services |
| Objective Field: | Finance Services |
| UTAS Author: | Dungey, MH (Professor Mardi Dungey) |
| ID Code: | 56981 |
| Year Published: | 2009 |
| Web of Science® Times Cited: | 31 |
| Deposited By: | Economics and Finance |
| Deposited On: | 2009-06-11 |
| Last Modified: | 2014-12-20 |
| Downloads: | 0 |
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