Co-Jumping of Treasury Yield Curve Rates

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F24%3A00599185" target="_blank" >RIV/67985556:_____/24:00599185 - isvavai.cz</a>
Result on the web
<a href="https://www.degruyter.com/document/doi/10.1515/snde-2022-0091/html" target="_blank" >https://www.degruyter.com/document/doi/10.1515/snde-2022-0091/html</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1515/snde-2022-0091" target="_blank" >10.1515/snde-2022-0091</a>

Result language
angličtina
Original language name
Co-Jumping of Treasury Yield Curve Rates
Original language description
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.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50202 - Applied Economics, Econometrics

Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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