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

  • Dungey, Mardi
  • McKenzie, Michael
  • Smith, L. Vanessa

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.

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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 16 (2009)
Issue (Month): 3 (June)
Pages: 430-445

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Handle: RePEc:eee:empfin:v:16:y:2009:i:3:p:430-445
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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