Cojumping: Evidence from the US Treasury Bond and Futures Markets
Year of publication: |
2010-07-20
|
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Authors: | Dungey, Mardi ; Hvozdyk, Lyudmyla |
Institutions: | National Centre for Econometric Research (NCER) |
Subject: | US Treasury markets | high frequency data | cojump test |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 56 22 pages |
Classification: | C1 - Econometric and Statistical Methods: General ; C32 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies |
Source: |
-
Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06)
Dungey, Mardi, (2010)
-
Cojumping: Evidence from the US Treasury bond and futures markets
Dungey, Mardi, (2012)
-
Cojumping : evidence from the US Treasury bond and futures markets
Dungey, Mardi H., (2011)
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Extending an SVAR Model of the Australian Economy
Dungey, Mardi, (2008)
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Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH
Dungey, Mardi, (2008)
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Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06)
Dungey, Mardi, (2010)
- More ...