@techreport{WinkelmannYao, type = {Working Paper}, author = {Winkelmann, Lars and Yao, Wenying}, title = {Tests for Jumps in Yield Spreads}, series = {Berlin School of Economics Discussion Papers}, journal = {Berlin School of Economics Discussion Papers}, edition = {No. 24}, doi = {10.48462/opus4-5073}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:b1570-opus4-50731}, pages = {45}, abstract = {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.}, language = {en} } @techreport{Winkelmann, type = {Working Paper}, author = {Winkelmann, Lars}, title = {Tests for Jumps in Yield Spreads}, series = {Berlin School of Economics Discussion Papers}, journal = {Berlin School of Economics Discussion Papers}, edition = {No. 24}, doi = {10.48462/opus4-5069}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:b1570-opus4-50697}, pages = {45}, abstract = {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.}, language = {en} }