Dungey, Mardi; Hvozdyk, Lyudmyla - In: Journal of Banking & Finance 36 (2012) 5, pp. 1563-1575
The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using formal cojumping tests this paper considers the cojumping behavior of spot and futures prices in high frequency US Treasury data. Cojumping occurs most...