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

Listed author(s):
  • Mardi Dungey

    ()

  • Michael McKenzie

    ()

  • Vanessa Smith

    ()

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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File URL: http://cbe.anu.edu.au/research/papers/camawpapers/Papers/2007/Dungey_McKenzie_Smith_252007pdf.pdf
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Paper provided by Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University in its series CAMA Working Papers with number 2007-25.

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