A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets

We propose a frequency-specific framework to link the common features in the multivariate high-frequency price jumps with the low-frequency exogenous factors. We introduce the measure of commonality and the measure of multiplicity based on high-frequency data and define the notions of co-arrivals and co-jumps to explore the contribution of individual assets. We employ the framework to study the 10-year high-frequency European government bond yields over June 2009-April 2019 as a function of macro-factors, macro-announcements, bond auctions and unconventional monetary policy announcements. Both idiosyncratic and common jump arrivals are significant, with the idiosyncratic arrivals being more sensitive to financial distress as characterised by a low level of commonality in jump arrivals.