Work detail

Co-jumping of yield curve

Author: Mgr. Pavel Fišer
Year: 2018 - summer
Leaders: doc. PhDr. Jozef Baruník Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 72
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/190203/
Abstract: The main focus of the thesis is on jumps and co-jumps and their influence
on the term structure of the U.S. Treasury bond futures contracts. Using
high frequency data I am able to quantify to which extent co-jumps affect
the correlation between bond futures pairs with different maturities which
is not common in the literature. In order to separate the price process into
continuous and discontinuous components represented by jumps and to precisely
localize significant co-jumps a new wavelet-based estimator is used for
the analyses. Furthermore, I am studying the co-jump behavior in response
to scheduled macroeconomic news announcements. Empirical findings reveal
strong influence of co-jumps to the correlation structure of bond futures
across all maturity pairs as well as a significant link between Federal Open
Market Committee news announcements and higher probability of co-jump
occurrence.

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