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Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market

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Author Info
Mardi Dungey ()
Michael McKenzie ()
Vanessa Smith ()

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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.

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Paper provided by Australian National University, Centre for Applied Macroeconomic Analysis in its series CAMA Working Papers with number 2007-25.

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Length: 45 pages
Date of creation: Jul 2007
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Handle: RePEc:acb:camaaa:2007-25

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C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. George J. Jiang & Ingrid Lo & Adrien Verdelhan, 2008. "Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market," Working Papers 08-22, Bank of Canada. [Downloadable!]
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