Co-jumping of treasury yield curve rates

DOI10.1515/SNDE-2022-0091MaRDI QIDQ6645253FDOQ6645253

Authors: Jozef Barunik, Pavel Fišer 

Publication date: 28 November 2024

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

zbMATH Keywords

waveletsyield curvehigh frequency dataco-jumps

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Title not available (Why is that?)
• Ideal spatial adaptation by wavelet shrinkage
• An introduction to wavelets and other filtering methods in finance and economics
• Title not available (Why is that?)
• Jump and sharp cusp detection by wavelets
• Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
• Modeling and Forecasting Realized Volatility
• Estimating covariation: Epps effect, microstructure noise
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• The surprise element: Jumps in interest rates.
• Modeling and forecasting exchange rate volatility in time-frequency domain
• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
• The case for Divisia monetary statistics: a Bayesian time-varying approach

This page was built for publication: Co-jumping of treasury yield curve rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6645253)