Dynamic Repo Transactions of Chinese Interbank Bond Market:Evidences Based on Realized Jump Risk

Based on theoretical results for bi-power variation measures,the jump behavior of realized volatility for interbank repo interest rate is examined.Realized volatility is divided into two parts: the continuous sample path variation and the discontinuous jump variation.The statistical feature of jump variation is studied and the result indicates that jump component of quadratic variation is the most important determinant for realized volatility.Based on this,the conclusion shows that there are more unique characteristics of jump and realized volatility than foreign markets and the pattern of jump of are contributed to a variety of factors.