B1404
Title: Joint tests for jumps in asset prices and their spread
Authors: Lars Winkelmann - Freie Universitaet Berlin (Germany) [presenting]
Wenying Yao - Deakin University (Australia)
Abstract: High-frequency econometric methods are developed to test for jumps in the spread of financial asset prices. We derive a coherent inference procedure that detects a jump in the spread only if either of the two asset prices displays a jump. We formalize the test as a sequential procedure in the context of an intersection union test in multiple testing and introduce a new bivariate-jump test for pre-averaged, intra-day returns. We illustrate the practicability of the proposed test procedure by studying the term spread of U.S. government bonds at FOMC announcements.
