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, 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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (61)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927-5398(08)00101-1
Full text for ScienceDirect subscribers only

Related works:
Working Paper: EMPIRICAL EVIDENCE ON JUMPS IN THE TERM STRUCTURE OF THE US TREASURY MARKET (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:16:y:2009:i:3:p:430-445

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().