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Cojumpinge Evidence from the US Treasury bond and futures markets
Dungey, Mardi H.; Hvozdyk, Lyudmyla - 2010
Persistent link: https://www.econbiz.de/10008668687
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Cojumping : evidence from the US Treasury bond and futures markets
Dungey, Mardi H.; Hvozdyk, Lyudmyla - 2010
Persistent link: https://www.econbiz.de/10008698082
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The impact of jumps and thin trading on realised hedge ratios
Dungey, Mardi H.; Henry, Ólan Thomas John; Hvozdyk, … - 2012
Persistent link: https://www.econbiz.de/10009671885
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Cojumping : evidence from the US Treasury bond and futures markets
Dungey, Mardi H.; Hvozdyk, Lyudmyla - 2011
Persistent link: https://www.econbiz.de/10009384423
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The impact of jumps and thin trading on realized hedge ratios?
Dungey, Mardi H.; Henry, Ólan Thomas John; Hvozdyk, … - 2013
Persistent link: https://www.econbiz.de/10009747320
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Cojumping : evidence from the US Treasury bond and futures markets
Dungey, Mardi H.; Hvozdyk, Lyudmyla - In: Journal of banking & finance 36 (2012) 5, pp. 1563-1575
Persistent link: https://www.econbiz.de/10009615791
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Cojumping: Evidence from the US Treasury Bond and Futures Markets
Dungey, Mardi; Hvozdyk, Lyudmyla - National Centre for Econometric Research (NCER) - 2010
The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using a formal cojumping test this paper considers the cojumping behavior of spot and futures prices in high frequency US Treasury data. Cojumping occurs most...
Persistent link: https://www.econbiz.de/10008694506
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Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06)
Dungey, Mardi; Hvozdyk, Lyudmyla - School of Economics and Finance, Tasmanian School of … - 2010
The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using a formal cojumping test this paper considers the cojumping behavior of spot and futures prices in high frequency US Treasury data. Cojumping occurs most...
Persistent link: https://www.econbiz.de/10010593805
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Cojumping: Evidence from the US Treasury bond and futures markets
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...
Persistent link: https://www.econbiz.de/10010574883
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Cojumping: Evidence from the US Treasury bond and futures markets
Dungey, Mardi; Hvozdyk, Lyudmyla - In: Journal of banking & finance 36 (2012) 5, pp. 1563-1576
Persistent link: https://www.econbiz.de/10009843650