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

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

66 Citations (Scopus)

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
Number of pages	16
Journal	Journal of Empirical Finance
Volume	16
Issue number	3
DOIs	https://doi.org/10.1016/j.jempfin.2008.12.002
Publication status	Published - 2009
Externally published	Yes

Keywords

Cojumping
High frequency
Jumps
Realized variance
US Treasuries

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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.",

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AU - McKenzie, Michael

AU - Smith, L. Vanessa

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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 - Cojumping

KW - High frequency

KW - Jumps

KW - Realized variance

KW - US Treasuries

U2 - 10.1016/j.jempfin.2008.12.002

DO - 10.1016/j.jempfin.2008.12.002

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JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

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ER -

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

Abstract

Keywords

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