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dc.contributor.author Sun, Hao
dc.date.accessioned 2012-04-17T21:04:35Z
dc.date.available 2012-04-17T21:04:35Z
dc.date.issued 2012-04-17
dc.identifier.uri http://hdl.handle.net/10161/5151
dc.description Honors thesis en_US
dc.description.abstract This paper constructs jump-robust estimators for the beta in Capital Asset Pricing Model (CAPM) in order to test the robustness of the recently developed Realized Beta in the presence of large discontinuous movements, or jumps, in stock prices. To complete the analysis on effect of jump on Realized Beta, this paper also disentangles jump beta and diffusive beta from the Realized Beta measurement in order to examine whether stocks react differently to jumps under the CAPM. Then, the results are compared to recent literatures tackling the same problem from different approaches. en_US
dc.language.iso en_US en_US
dc.subject Econometrics en_US
dc.subject Jump en_US
dc.subject Beta en_US
dc.subject Realized en_US
dc.subject Bi-power en_US
dc.subject Capital Asset Pricing Model (CAPM) en_US
dc.title Jump Robustness of Realized Beta and Disentanglement of Jump Beta en_US
dc.department Economics en_US

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