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- W3122114738 abstract "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." @default.
- W3122114738 created "2021-02-01" @default.
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- W3122114738 date "2019-05-01" @default.
- W3122114738 modified "2023-09-27" @default.
- W3122114738 title "Co-jumping of Treasury Yield Curve Rates" @default.
- W3122114738 hasPublicationYear "2019" @default.
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