| bibtype |
J -
Journal Article
|
| ARLID |
0599185 |
| utime |
20241021104908.9 |
| mtime |
20241009235959.9 |
| SCOPUS |
85197395201 |
| WOS |
001101061600001 |
| DOI |
10.1515/snde-2022-0091 |
| title
(primary) (eng) |
Co-Jumping of Treasury Yield Curve Rates |
| specification |
| page_count |
26 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0255788 |
| ISSN |
1081-1826 |
| title
|
Studies in Nonlinear Dynamics and Econometrics |
| volume_id |
28 |
| volume |
3 (2024) |
| page_num |
481-506 |
|
| keyword |
co-jumps |
| keyword |
yield curve |
| keyword |
wavelets |
| keyword |
high frequency data |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0473980 |
| name1 |
Fišer |
| name2 |
Pavel |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GX19-28231X |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0385135 |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2025 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0357042 |
| confidential |
S |
| mrcbC91 |
C |
| mrcbT16-e |
ECONOMICS|SOCIALSCIENCESMATHEMATICALMETHODS |
| mrcbT16-j |
0.2 |
| mrcbT16-D |
Q4 |
| arlyear |
2024 |
| mrcbU14 |
85197395201 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
001101061600001 WOS |
| mrcbU63 |
cav_un_epca*0255788 Studies in Nonlinear Dynamics and Econometrics 28 3 2024 481 506 1081-1826 1558-3708 |
|