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

Mardi Dungey; Michael McKenzie; L. Vanessa Smith

doi:10.1016/j.jempfin.2008.12.002

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

Mardi Dungey, Michael McKenzie, L. Vanessa Smith

Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	430–445
Journal	Journal of empirical finance
Volume	16
Issue number	3
DOIs	https://doi.org/10.1016/j.jempfin.2008.12.002
Publication status	Published - Jun 2009

Keywords

US Treasuries
High frequency
Realized variance
Jumps
Cojumping

Access to Document

10.1016/j.jempfin.2008.12.002

http://dx.doi.org/10.1016/j.jempfin.2008.12.002

Cite this

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title = "Empirical evidence on jumps in the term structure of the US Treasury Market",

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",

author = "Mardi Dungey and Michael McKenzie and Smith, {L. Vanessa}",

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T1 - Empirical evidence on jumps in the term structure of the US Treasury Market

AU - Dungey, Mardi

AU - McKenzie, Michael

AU - Smith, L. Vanessa

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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.

KW - US Treasuries

KW - High frequency

KW - Realized variance

KW - Jumps

KW - Cojumping

U2 - 10.1016/j.jempfin.2008.12.002

DO - 10.1016/j.jempfin.2008.12.002

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