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

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

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

Date

2009

Authors

Dungey, Mardi

McKenzie, Michael

Smith, L.Vanessa

Publisher

Elsevier

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