Empirical evidence on jumps in the term structure of the US Treasury Market
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
|Collections||ANU Research Publications|
|Source:||Journal of Empirical Finance|
|01_Dungey_Empirical_evidence_on_jumps_in_2009.pdf||1.13 MB||Adobe PDF||Request a copy|
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