Empirical evidence on jumps in the term structure of the US Treasury Market

Mardi Dungey (), Michael McKenzie and L. Vanessa Smith

Journal of Empirical Finance, 2009, vol. 16, issue 3, pages 430-445

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.

Keywords: US; Treasuries; High; frequency; Realized; variance; Jumps; Cojumping (search for similar items in EconPapers)
Date: 2009

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Related works:
Working Paper: EMPIRICAL EVIDENCE ON JUMPS IN THE TERM STRUCTURE OF THE US TREASURY MARKET (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:empfin:v:16:y:2009:i:3:p:430-445

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