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Detecting Contagion with Correlation: Volatility and Timing Matter
(CFAP, Cambridge Judge Business School, University of Cambridge, 2010-05)
We examine whether contagion tests are affected by controls for volatility clustering and the collection of synchronized data sets. Without controlling for volatility clustering synchronization does not apparently matter. ...
From Trade-to-Trade in US Treasuries
(CFAP, Cambridge Judge Business School, University of Cambridge, 2010-05)
The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data ...
Cojumping: Evidence from the US Treasury Bond and Futures Market
(2011-02)
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 behaviour of spot ...
The Term Premium and The UK Economy 1980-2007
(2010)
The term premium is estimated from an empirically coherent open economy VAR model of the UK economy where the model specifically accounts for the mixed nature of the data and cointegration between some variables. Using ...