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  1. Tests for jumps in yield spreads
    Autor*in: Winkelmann, Lars; Yao, Wenying
    Erschienen: [2021]
    Verlag:  Freie Universität Berlin, Berlin

    This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump.... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 79
    Fernleihe:
    keine Fernleihe

     

    This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds 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. In an empirical application involving high-frequency data of U.S. government bonds, we contrast response patterns of term spreads and break-even in ation across monetary policy announcements, in ation, and employment news releases.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/246078
    Schriftenreihe: Array ; 2021, 15
    Schlagworte: High-frequency data; sequential testing; news announcements; term spread; break-even inflation
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  2. Tests for jumps in yield spreads
    Autor*in: Winkelmann, Lars; Yao, Wenying
    Erschienen: [2023]
    Verlag:  Berlin School of Economics, [Berlin]

    This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump.... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 840
    Fernleihe:
    keine Fernleihe

     

    This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing inference only on a univariate jump test applied to the spread tends to overestimate the number of jumps in yield spreads and puts the coherence of test results at risk. We formalize the statistical approach in the context of an intersection union test in multiple testing. We document the relevance of coherent tests and their practicability via simulations and real data examples.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Discussion paper / Berlin School of Economics ; #0024 (September 2023)
    Schlagworte: High-frequency data; jumps; sequential testing; intersection union test; term spread; break-even inflation
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  3. Anytime-valid inference in linear models and regression-adjusted inference
    Autor*in: Lindon, Michael; Ham, Dae Woong; Tingley, Martin; Bojinov, Iavor
    Erschienen: [2024]
    Verlag:  [Harvard Business School], [Boston, MA]

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    Keine Rechte
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Harvard Business School ; 24, 060
    Schlagworte: e-processes; safe testing; martingales; Bayes factors; sequential testing; confidence sequences; anytime-valid
    Umfang: 1 Online-Ressource (circa 79 Seiten), Illustrationen
  4. Sequential testing of k-out-of-n systems with imperfect tests
    Erschienen: 2015
    Verlag:  KU Leuven, Fac. of Economics and Business, Leuven

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: KBI ; 1508
    Schlagworte: sequential testing; k-out-of-n systems; imperfect tests; sequencing and scheduling
    Umfang: Online-Ressource (34 S.), graph. Darst.