EMPIRICAL EVIDENCE ON JUMPS IN THE TERM STRUCTURE OF THE US TREASURY MARKET

Mardi Dungey, Michael McKenzie and L. Vanessa Smith

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: Sufficiently fast and large disruptions to the continuous price process are referred to as jumps. Cojumping arises when jumps occur contemporaneously across assets. 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. Cojumping frequently occurs in response to scheduled macroeconomic news announcements, however, around one-third of cojumps occur independently of any news announcements.

JEL-codes: C22 G14 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2007-07
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Citations: View citations in EconPapers (4)

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https://cama.crawford.anu.edu.au/sites/default/fil ... ie_smith_2007pdf.pdf (application/pdf)

Related works:
Journal Article: Empirical evidence on jumps in the term structure of the US Treasury Market (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2007-25

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