| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5090062 | Journal of Banking & Finance | 2012 | 13 Pages |
Abstract
⺠We detect cojumps in high frequency US Treasury bond and futures returns. ⺠We find some periods when two cojump tests are in conflict. ⺠Probability of cojumping is altered by presence of macroeconomic news announcements. ⺠Surprises in non-farm payrolls, CPI, GDP, retail sales are associated with cojumps. ⺠Surprises in non-farm payrolls also increase probability of conflicting test results.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mardi Dungey, Lyudmyla Hvozdyk,