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dc.contributor.author Bhattacharya, Vivek
dc.date.accessioned 2012-04-16T02:21:18Z
dc.date.available 2012-04-16T02:21:18Z
dc.date.issued 2012-04-15
dc.identifier.uri http://hdl.handle.net/10161/5130
dc.description Honors Thesis for Economics, 2012 en_US
dc.description.abstract This paper uses high-frequency price data to study the relative contribution of jumps to the total volatility of an equity. In particular, it systematically compares the relative contribution of jumps across a panel of stocks from three different industries by computing the cross-correlation of this statistic for pairs of stocks. We identify a number of empirical regularities in this cross-correlation and compare these observations to predictions from a standard jump-diffusion model for the joint price process of two stocks. A main finding of this paper is that this jump-diffusion model, when calibrated to particular pairs of stocks in the data, cannot replicate some of the empirical patterns observed. The model predictions differ from the empirical observations systematically: predictions for pairs of stocks from the same industry are on the whole much less accurate than predictions for pairs of stocks from different industries. Some possible explanations for this discrepancy are discussed. en_US
dc.language.iso en_US en_US
dc.subject econometric modeling en_US
dc.subject financial econometrics en_US
dc.subject high-frequency data en_US
dc.subject jumps en_US
dc.title Cross-Stock Comparisons of the Relative Contribution of Jumps to Total Price Variance en_US
dc.type Thesis en_US

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