Počet záznamů: 1
A frequency-specific factorization to identify commonalities with an application to the European bond markets
- 1.0441234 - NHU-C 2015 GB eng V - Výzkumná zpráva
Boffelli, S. - Novotný, Jan - Urga, G.
A frequency-specific factorization to identify commonalities with an application to the European bond markets.
London: Centre For Econometric Analysis, Cass Business School, Faculty of Finance, 2014. 62 s. CEA@Cass Working Paper Series, WP–CEA–04a-2014.
Institucionální podpora: PRVOUK-P23
Klíčová slova: arrivals * jumps * co-arrivals
Kód oboru RIV: AH - Ekonomie
http://www.cass.city.ac.uk/__data/assets/pdf_file/0007/246526/04a-2014.pdf
We describe the main characteristics of government bond yields used in this study in full details. We then review the macro-factors, news announcements and bond auctions employed as the explanatory variables. Finally, we present the testing procedures to identify and date jump arrivals.
Trvalý link: http://hdl.handle.net/11104/0244316
Počet záznamů: 1