Empirical evidence of jump behaviour in the Colombian intraday bond market Thesis

short description

  • Master's thesis

Thesis author

  • Romero Díaz, Nicolás

abstract

  • Simulations and empirical studies suggest that incorporating a discontinuous jump process in asset pricing models improve volatility forecasting, pricing of instruments, and hedging positions in a portfolio. In this work we analyze high frequency market data of Colombian sovereign bonds in order to study the presence or absence of discontinuities in the price generating process

publication date

  • January 15, 2020 3:22 PM

keywords

  • bonds
  • high frequency trading
  • intraday
  • jumps

Document Id

  • 931dad86-0eef-4bf0-b3a4-71c651b75116