Wing Wah Tham
نویسندگان
چکیده
This papers considers how trading activity at one maturity of the yield curve a¤ects and is a¤ected by trading at other maturities. We approach the modeling of bond prices from a stochastic volatility and market microstructure perspective based on time deformation. We nd that individual yields are driven by di¤erent market clockssuggesting di¤erent price discovery processes at di¤erent yields. These separate market time scales are related to each other through a multivariate Hawkes model which e¤ectively coordinates activity along the yield curve. We show that bond returns standardized by the instantaneous volatility estimated from the Hawkes model are Gaussian. Contact details: [email protected], and [email protected]: Tel +00442476 574168 We are grateful to Adrian Baddeley, Christian Gourieroux, Nick Webber, Roel Oomen, Nikolaus Hautsch, Hashem Pesaran, Je¤rey Russell, Neil Shephard, Kevin Sheppard, Clive Bowsher, Andrew Patton and Jeremy Large for comments on earlier versions of this paper which were presented at an ESF Exploratory Workshop on The High Frequency Analysis of Foreign Exchange and Fixed Income Markets at Warwick in June 2006, the Econometrics Seminar, Cambridge, the London-Oxford Financial Econometrics workshop at Nu¢ eld, March 2007, Imperial College Financial Econometrics conference London, May 2007 and China International Conference in Finance 2007 at Chengdu, July 2007.
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تاریخ انتشار 1976