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Information shocks, jumps, and price discovery : evidence from the US Treasury market

Jiang, George J. (contributor); Lo, Ingrid (contributor); … - 2008

We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-year notes and 30-year bond during the period of 2005-2006. Our results show that jumps mostly occur during prescheduled...

Persistent link: https://www.econbiz.de/10003749227