• Media type: E-Book
  • Title: A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets
  • Contributor: Boffelli, Simona [Author]; Novotny, Jan [Author]; Urga, Giovanni [Author]
  • Published: [S.l.]: SSRN, [2020]
  • Extent: 1 Online-Ressource (54 p)
  • Language: English
  • DOI: 10.2139/ssrn.3700384
  • Identifier:
  • Keywords: Co-arrivals ; Co-jumps ; European Government Yields ; Macro-factors ; Macro-announcements ; Auctions ; Unconventional Monetary Policy Announcements
  • Origination:
  • Footnote: In: Journal of Financial Econometrics, 2020
    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 15, 2020 erstellt
  • Description: We propose a frequency-specific framework to link the common features in the multivariate high-frequency price jumps with the low-frequency exogenous factors. We introduce the measure of commonality and the measure of multiplicity based on high-frequency data and define the notions of co-arrivals and co-jumps to explore the contribution of individual assets. We employ the framework to study the 10-year high-frequency European government bond yields over June 2009-April 2019 as a function of macro-factors, macro-announcements, bond auctions and unconventional monetary policy announcements. Both idiosyncratic and common jump arrivals are significant, with the idiosyncratic arrivals being more sensitive to financial distress as characterized by a low level of commonality in jump arrivals
  • Access State: Open Access