کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958316 | 928985 | 2009 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Empirical evidence on jumps in the term structure of the US Treasury Market
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Empirical evidence on jumps in the term structure of the US Treasury Market Empirical evidence on jumps in the term structure of the US Treasury Market](/preview/png/958316.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 16, Issue 3, June 2009, Pages 430–445
Journal: Journal of Empirical Finance - Volume 16, Issue 3, June 2009, Pages 430–445
نویسندگان
Mardi Dungey, Michael McKenzie, L. Vanessa Smith,