We propose a frequency-specific framework to link the common features in the multivariate high-frequency price jumps with the low-frequency exogenous factors. We introduce the measure of commonality and the measure of multiplicity based on high-frequency data and define the notions of co-arrivals and co-jumps to explore the contribution of individual assets. We employ the framework to study the 10-year high-frequency European government bond yields over June 2009-April 2019 as a function of macro-factors, macro-announcements, bond auctions and unconventional monetary policy announcements. Both idiosyncratic and common jump arrivals are significant, with the idiosyncratic arrivals being more sensitive to financial distress as characterised by a low level of commonality in jump arrivals.

(2022). A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets [journal article - articolo]. In JOURNAL OF FINANCIAL ECONOMETRICS. Retrieved from http://hdl.handle.net/10446/166040

A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets

Urga, Giovanni
2022

Abstract

We propose a frequency-specific framework to link the common features in the multivariate high-frequency price jumps with the low-frequency exogenous factors. We introduce the measure of commonality and the measure of multiplicity based on high-frequency data and define the notions of co-arrivals and co-jumps to explore the contribution of individual assets. We employ the framework to study the 10-year high-frequency European government bond yields over June 2009-April 2019 as a function of macro-factors, macro-announcements, bond auctions and unconventional monetary policy announcements. Both idiosyncratic and common jump arrivals are significant, with the idiosyncratic arrivals being more sensitive to financial distress as characterised by a low level of commonality in jump arrivals.
articolo
Boffelli, Simona; Novotny, Jan; Urga, Giovanni
(2022). A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets [journal article - articolo]. In JOURNAL OF FINANCIAL ECONOMETRICS. Retrieved from http://hdl.handle.net/10446/166040
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/166040
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