TY - JOUR
T1 - Empirical evidence on jumps in the term structure of the US Treasury Market
AU - Dungey, Mardi
AU - McKenzie, Michael
AU - Smith, L.Vanessa
PY - 2009
Y1 - 2009
N2 - 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.
AB - 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.
U2 - 10.1016/j.jempfin.2008.12.002
DO - 10.1016/j.jempfin.2008.12.002
M3 - Article
VL - 16
SP - 430
EP - 445
JO - Journal of Empirical Finance
JF - Journal of Empirical Finance
SN - 0927-5398
IS - 3
ER -