英文标题：
《Co-jumping of Treasury Yield Curve Rates》
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作者：
Jozef Barunik and Pavel Fiser
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最新提交年份：
2019
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英文摘要：
  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.
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中文摘要：
我们研究了共同跳跃在利率期货市场中的作用。为了将二次协变量的连续部分从共跳中分离出来，我们通过小波系数精确地定位共跳，并识别出具有统计意义的共跳。利用美国和欧洲收益率曲线的高频数据，我们量化了co跳跃对其相关结构的影响。实证结果显示，与欧洲收益率曲线相比，美国收益率曲线具有更强的共同跳跃行为。此外，我们将共同跳跃行为与货币政策公告联系起来，并研究了2007年1月至2017年12月期间103份FOMC和119份ECB公告对确定的共同跳跃的影响。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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