208
Views
0
CrossRef citations to date
0
Altmetric
Articles

Tests for Jumps in Yield Spreads

& ORCID Icon

References

  • Aït-Sahalia, Y., and Jacod, J. (2009), “Testing for Jumps in a Discretely Observed Process,” Annals of Statistics, 37, 184–222.
  • Aït-Sahalia, Y., and Jacod, J., and Li, J. (2012), “Testing for Jumps in Noisy High Frequency Data,” Journal of Econometrics, 168, 207–222. DOI: 10.1016/j.jeconom.2011.12.004.
  • Aït-Sahalia, Y., Kalnina, I., and Xiu, D. (2020), “High-Frequency Factor Models and Regressions,” Journal of Econometrics, 216, 86–105. DOI: 10.1016/j.jeconom.2020.01.007.
  • Aït-Sahalia, Y., and Xiu, D. (2019), “A Hausman Test for the Presence of Noise in High Frequency Data,” Journal of Econometrics, 211, 176–205. DOI: 10.1016/j.jeconom.2018.12.013.
  • Aït-Sahalia, Y., and Yu, J. (2009), “High-Frequency Market Microstructure Noise Estimates and Liquidity Measures,” Annals of Applied Statistics, 3, 422–457.
  • Bibinger, M., Neely, C. J., and Winkelmann, L. (2019), “Estimation of the Discontinuous Leverage Effect: Evidence from the NASDAQ Order Book,” Journal of Econometrics, 209, 158–184. DOI: 10.1016/j.jeconom.2019.01.001.
  • Bibinger, M., and Winkelmann, L. (2015), “Econometrics of Cojumps in High-Frequency Data with Noise,” Journal of Econometrics, 184, 361–378. DOI: 10.1016/j.jeconom.2014.10.004.
  • Bibinger, M., and Winkelmann, L. (2018), “Common Price and Volatility Jumps in Noisy High-Frequency Data,” Electronic Journal of Statistics, 12, 2018–2073.
  • Boffelli, S., and Urga, G. (2015), “Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads,” Journal of International Money and Finance, 53, 148–173. DOI: 10.1016/j.jimonfin.2015.01.004.
  • Chernov, M., and Mueller, P. (2012), “The Term Structure of Inflation Expectations,” Journal of Financial Economics, 106, 367–394. DOI: 10.1016/j.jfineco.2012.06.004.
  • Christensen, K., Kinnebrock, S., and Podolskij, M. (2010), “Pre-Averaging Estimators of the Ex-post Covariance Matrix in Noisy Diffusion Models with Non-synchronous Data,” Journal of Econometrics, 159, 116–133. DOI: 10.1016/j.jeconom.2010.05.001.
  • Del Negro, M., and Schorfheide, F. (2013), “DSGE Model-Based Forecasting,” in Handbook of Economic Forecasting (Vol. 2), eds. G. Elliott and A. Timmermann, pp. 57–140, Amsterdam: Elsevier.
  • Duffie, D., and Kan, R. (1996), “A Yield-Factor Model of Interest Rates,” Mathematical Finance, 6, 379–406. DOI: 10.1111/j.1467-9965.1996.tb00123.x.
  • Dumitru, A. M., and Urga, G. (2012), “Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests,” Journal of Business and Economic Statistics, 30, 242–255. DOI: 10.1080/07350015.2012.663250.
  • Finner, H., and Strassburger, K. (2002), “The Partitioning Principle: A Powerful Tool in Multiple Decision Theory,” Annals of Statistics, 30, 1194–1213.
  • Goeman, J. J., and Solari, A. (2010), “The Sequential Rejection Principle of Familiywise Error Control,” Annals of Statistics, 38, 3782–3810.
  • Hansen, P. R., and Lunde, A. (2006), “Realized Variance and Market Microstructure Noise,” Journal of Business & Economic Statistics, 24, 127–161. DOI: 10.1198/073500106000000071.
  • Hanson, S. G., and Stein, J. C. (2015), “Monetary Policy and Long-Term Real Rates,” Journal of Financial Economics, 115, 429–448. DOI: 10.1016/j.jfineco.2014.11.001.
  • Henry, T., and Phillips, P. C. B. (2020), “Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US,” Cowles Foundation Discussion Papers. 2574.
  • Hördahl, P., Remolona, E. M., and Valente, G. (2020), “Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements,” Journal of Business and Economic Statistics, 38, 27–42. DOI: 10.1080/07350015.2018.1429278.
  • Hsu, J. C., and Berger, R. L. (1999), “Stepwise Confidence Intervals Without Multiplicity Adjustment for Dose-Response and Toxicity Studies,” Journal of the American Statistical Association, 94,468–482. DOI: 10.2307/2670167.
  • Jacod, J., Li, Y., Mykland, P. A., Podolskij, M., and Vetter, M. (2009), “Microstructure Noise in the Continuous Case: The Pre-averaging Approach,” Stochastic Processes and their Applications, 119, 2249–2276. DOI: 10.1016/j.spa.2008.11.004.
  • Jacod, J., and Todorov, V. (2009), “Testing for Common Arrivals of Jumps for Discretely Observed Multidimensional Processes,” Annals of Statistics, 37, 1792–1838.
  • Jiang, G., Lo, I., and Verdelhan, A. (2011), “Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market,” Journal of Financial and Quantitative Analysis, 46, 527–551. DOI: 10.1017/S0022109010000785.
  • Koike, Y. (2016), “Estimation of Integrated Covariances in the Simultaneous Presence of Nonsynchronicity, Microstructure Noise and Jumps,” Econometric Theory, 32, 533–611. DOI: 10.1017/S0266466614000954.
  • Lee, S. (2012), “Jumps and Information Flow in Financial Markets,” Review of Financial Studies, 25, 439–479. DOI: 10.1093/rfs/hhr084.
  • Lee, S., and Mykland, P. A. (2008), “Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics,” Review of Financial Studies, 21, 2535–2563. DOI: 10.1093/rfs/hhm056.
  • Lee, S., and Mykland, P. A. (2012), “Jumps in Equilibrium Prices and Market Microstructure Noise,” Journal of Econometrics, 168, 396–406.
  • Lee, S., and Wang, M. (2020), “Tales of Tails: Jumps in Currency Markets,” Journal of Financial Markets, 48, 100497. DOI: 10.1016/j.finmar.2019.05.002.
  • Leombroni, M., Vedolinb, A., Venter, G., and Whelan, P. (2021), “Central Bank Communication and the Yield Curve,” Journal of Financial Economics, 141, 860–880. DOI: 10.1016/j.jfineco.2021.04.036.
  • Li, J., Todorov, V., and Zhang, Q. (2021), “Testing the Dimensionality of Policy Shocks,” working paper. DOI: 10.1162/rest_a_01139.
  • Liu, Y., and Hsu, J. (2009), “Testing for Efficacy in Primary and Secondary Endpoints by Partitioning Decision Paths,” Journal of the American Statistical Association, 104, 1661–1670. DOI: 10.1198/jasa.2009.tm08538.
  • Marcus, R., Peritz, E., and Gabriel, K. R. (1976), “On Closed Testing Procedures with Special Reference to Ordered Analysis of Variance,” Biometrika, 63, 655–660. DOI: 10.1093/biomet/63.3.655.
  • Podolskij, M., and Vetter, M. (2009), “Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps,” Bernoulli, 15, 634–658. DOI: 10.3150/08-BEJ167.
  • Podolskji, M., and Ziggel, D. (2010), “New Tests for Jumps in Semimartingale Models,” Statistical Inference for Stochastic Processes, 13, 15–41. DOI: 10.1007/s11203-009-9037-8.
  • Scaillet, O., Treccani, A., and Trevisan, C. (2020), “High-Frequency Jump Analysis of the Bitcoin Market,” Journal of Financial Econometrics, 18, 209–232.
  • Winkelmann, L., Bibinger, M., and Linzert, T. (2016), “ECB Monetary Policy Surprises: Identification through Cojumps in Interest Rates,” Journal of Applied Econometrics, 31, 613–629. DOI: 10.1002/jae.2453.
  • Yang, P. R. (2020), “Using the Yield Curve to Forecast Economic Growth,” Journal of Forecasting, 39, 1057–1080. DOI: 10.1002/for.2676.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.