0599185 20241021104908.920241009235959.9 85197395201 001101061600001 10.1515/snde-2022-0091 26 s. P cav_un_epca*02557881081-1826283 (2024)481-506 co-jumps yield curve wavelets high frequency data cav_un_auth*0242028 Baruník Jozef UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0473980 Fišer Pavel UTIA-B Ekonometrie Department of Econometrics E E CZ Ústav teorie informace a automatizace AV ČR, v. v. i. https://library.utia.cas.cz/separaty/2024/E/barunik-0599185.pdf https://www.degruyter.com/document/doi/10.1515/snde-2022-0091/html GX19-28231X GA ČR CZ cav_un_auth*0385135 We study the role of co-jumps in the interest rate futures markets. To disentangle continuous part of quadratic covariation from co-jumps, we localize the co-jumps precisely through wavelet coefficients and identify statistically significant ones. Using high frequency data about U.S. and European yield curves we quantify the effect of co-jumps on their correlation structure. Empirical findings reveal much stronger co-jumping behavior of the U.S. yield curves in comparison to the European one. Further, we connect co-jumping behavior to the monetary policy announcements, and study effect of 103 FOMC and 119 ECB announcements on the identified co-jumps during the period from January 2007 to December 2017. WOS AH 50000 50200 50202 2025 2 RVO:67985556 https://hdl.handle.net/11104/0357042 S C SOCIALSCIENCES.MATHEMATICALMETHODS|ECONOMICS 0.8 0.4 9.4 0.00043 0.278 554 37 0.319 45.81 0.87 87 Q2 0.700 34 Q3 25.3 0.26 Q3 32.2 2024 85197395201 SCOPUS PUBMED 001101061600001 WOS cav_un_epca*0255788 Studies in Nonlinear Dynamics and Econometrics 28 3 2024 481 506 1081-1826 1558-3708