Jumps, cojumps and macro announcements

We analyze and assess the impact of macroeconomic announcements on the discontinuities in many assets: stock index futures, bond futures, exchange rates, and gold. We use bi-power variation and the recently proposed non-parametric techniques of Lee and Mykland (2006) to extract jumps. Beyond characterizing the jump and cojump dynamics of many assets, we analyze how news arrival causes jumps and cojumps and estimate limited-dependent-variable models to quantify the impact of surprises. We confirm previous findings that some surprises create jumps. However, many announcements do not create jumps and many jumps are not related to announcements. The propensity of surprises to create jumps differs across asset classes, i.e., exchange rates, bonds, stock index. Payroll announcements are most important on stocks and bonds futures markets. Trade related news often creates cojumps on exchange rate markets.Foreign exchange rates ; Bond market

System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies

This paper studies bivariate tail comovements on financial markets that are of crucial importance for the world economy: the S&P 500, US bonds, and currencies. We propose to study that form of dependence under the lens of cojump identification in a bivariate Brownian semimartingale with idiosyncratic jumps, as well as cojumps. Whereas univariate jump identification has been widely studied in the high-frequency data literature, the multivariate literature on cojump identification is more recent and scarcer. Cojump identification is of interest, as it may identify comovements which are not trivially visible in a univariate setting. That is, price changes can be small relative to local variation, but still abnormal relative to local covariation. This paper investigates how simple parametric bootstrapping of the product of assets' intraday returns can help detect cojumps in a multivariate Brownian semi-martingale with both idiosyncratic jumps and cojumps. In particular, we investigate how to disentangle idiosyncratic jumps from common jumps at an intraday level for pairs of assets. The approach is flexible, trivial to implement, and yields good power properties. It allows to shed new light on extreme dependence at the world economy level. We detect cojumps of heterogeneous size which are partly undetected with a univariate approach. We find an increased cojump intensity after the crisis on the S&P 500-US bonds pair before a return to normal

Central bank intervention and exchange rate volatility, its continuous and jump components

We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying and jump component. Analysis of the timing and direction of jumps and interventions imply that coordinated interventions tend to cause few, but large jumps. Most coordinated operations explain, statistically, an increase in the persistent (continuous) part of exchange rate volatility. This correlation is even stronger on days with jumps.

Identification of Amazonian Trees with DNA Barcodes

International audienc

Variability and Action Mechanism of a Family of Anticomplement Proteins in Ixodes ricinus

Background: Ticks are blood feeding arachnids that characteristically take a long blood meal. They must therefore counteract host defence mechanisms such as hemostasis, inflammation and the immune response. This is achieved by expressing batteries of salivary proteins coded by multigene families. Methodology/Principal Findings: We report the in-depth analysis of a tick multigene family and describe five new anticomplement proteins in ixodes ricinus. Compared to previously described Ixodes anticomplement proteins, these segregated into a new phylogenetic group or subfamily. These proteins have a novel action mechanism as they specifically bind to properdin, leading to the inhibition of C3 convertase and the alternative complement pathway. An excess of non-synonymous over synonymous changes indicated that coding sequences had undergone diversifying selection. Diversification was not associated with structural, biochemical o, functional diversity, adaptation to host species or stage specificity but rather to differences in antigenicity. Conclusion/Significance: Anticomplement proteins from I. ricinus are the first inhibitors that specifically target a positive regulator of complement, properdin. They may provide new tools for the investigation of role of properdin in physiological and pathophysiological mechanisms. They may also be useful in disorders affecting the alternative complement pathway, Looking for and detecting the different selection pressures involved will help in understanding the evolution of multigene families and hematophagy in arthropods. © 2008 Couveur et al.Journal ArticleResearch Support, Non-U.S. Gov'tSCOPUS: ar.jinfo:eu-repo/semantics/publishe

Jumps in high frequency time series: determinants and informational content

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