论文检索

债券收益率利差的跳跃检验AI 解读

This article studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose 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. Ignoring this inherent connection by basing inference only on a univariate jump test applied to the spread tends to overestimate the number of jumps in yield spreads and puts the coherence of test results at risk. We formalize…

利用高频数据推断时变协方差矩阵的最大秩AI 解读

We study the rank of the instantaneous or spot covariance matrix ΣX(t) of a multidimensional process X(t). Given high-frequency observations X(i/n), i=0,…,n, we test the null hypothesis rank(ΣX(t))≤r for all t against local alternatives where the average (r+1)st eigenvalue is larger than some signal detection rate vn. A major problem is that the inherent averaging in local covariance statistics produces a bias that distorts the rank statistics. We show that the bias depends…

不连续杠杆效应的估计：来自纳斯达克订单簿的证据AI 解读

An extensive empirical literature documents a generally negative relation, named the “leverage effect,” between asset returns and changes of volatility. It is more challenging to establish such a return–volatility relationship for jumps in high-frequency data. We propose new nonparametric methods to assess and test for a discontinuous leverage effect — i.e. a covariation between contemporaneous jumps in prices and volatility. The methods are robust to market microstructure…

欧洲央行货币政策意外：通过利率共同跳跃识别AI 解读

This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick data of short- and long-term interest rate futures, we develop a day-wise test that detects the occurrence of a significant policy surprise and identifies the market perceived source of the surprise. The new test is applied to 133 policy announcements of the European Central Bank (ECB) in the…

含噪声高频数据中共同跳跃的计量分析AI 解读

We establish estimation methods to determine co-jumps in multivariate high-frequency data with non-synchronous observations and market microstructure. A rate-optimal estimator of the entire quadratic covariation of an Itô-semimartingale is constructed by a locally adaptive spectral approach. Thresholding allows to disentangle the co-jump from the continuous part. We derive a feasible limit theorem for a truncated estimator of integrated covolatility which facilitates…