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- W3208793413 abstract "This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential procedure in the context of an intersection union test in multiple testing and introduce a new bivariate jump test for pre-averaged intra-day returns. In an empirical application involving high-frequency data of U.S. government bonds, we contrast response patterns of term spreads and break-even in ation across monetary policy announcements, in ation, and employment news releases." @default.
- W3208793413 created "2021-11-08" @default.
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- W3208793413 date "2021-01-01" @default.
- W3208793413 modified "2023-09-27" @default.
- W3208793413 title "Tests for jumps in yield spreads" @default.
- W3208793413 doi "https://doi.org/10.17169/refubium-32211" @default.
- W3208793413 hasPublicationYear "2021" @default.
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