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Empirical evidence on jumps in the term structure of the US treasury market


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


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 20022006. 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:54
Deposited By:Economics and Finance
Deposited On:2009-06-11
Last Modified:2014-12-20

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