Tests for Jumps in Yield Spreads
提出一种高频计量方法，用于检验债券收益率利差中是否存在跳跃，该方法通过联合检验两个基础债券的跳跃行为，避免传统单变量检验的过度估计问题，并通过模拟和实际数据验证其有效性。
This article studies high-frequency econometric methods to test for a jump in the <i>spread</i> 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.