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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 |
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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: | 54 |
Deposited By: | Economics and Finance |
Deposited On: | 2009-06-11 |
Last Modified: | 2014-12-20 |
Downloads: | 0 |
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