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 measures of commonality and 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 this framework to study 10-year high-frequency European government bond yields as a function of macro-factors, macro-announcements and bond auctions. Both idiosyncratic and common jump arrivals are significant, with the idiosyncratic arrivals more sensitive to financial distress characterised by a low level of commonality in jump arrivals