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

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

Description

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

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
URI: http://hdl.handle.net/1885/60538
Source: Journal of Empirical Finance
DOI: 10.1016/j.jempfin.2008.12.002

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