Work detail

Analysis of Term Structures in High Frequencies

Author: Mgr. Adam Nedvěd
Year: 2018 - summer
Leaders: doc. PhDr. Jozef Baruník Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 117
Awards and prizes: M.A. with distinction from the Director of IES FSV UK for an extraordinarily good master diploma thesis.
Deloitte Outstanding Thesis Award
Link: https://is.cuni.cz/webapps/zzp/detail/179345/
Abstract: This thesis represents an in-depth empirical study of the dependence structures
within the term structure of interest rates. Firstly, a comprehensive overview
of term structure modelling literature and methods is provided together with
a summary of theoretical notions regarding the use of high-frequency data and
spectral analysis. Contrary to most studies, the frequency-domain approach is
employed, with a special focus on dependency across various quantiles of the
joint distribution of the term structure. The main results are obtained using
the quantile cross-spectral analysis, a new robust and non-parametric method
allowing to uncover dependence structures in quantiles of the joint distribution
of multivariate time series. The results are estimated using a dataset consisting
of 15 years worth of high-frequency tick-by-tick time series of US Treasury
futures. Complex dependence structures are revealed showing signs of both
cyclicity and dependence in various parts of the joint distribution of the term
structure in the frequency domain

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