Relative Contribution of Common Jumps in Realized Correlation
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This paper studies common intraday jumps and relative contribution of these common jumps in realized correlation between individual stocks and market index, using high-frequency price data. We find that the common jumps significantly contribute in realized correlation at different threshold cut-offs and both common jumps and realized correlation are relatively consistent across time period including financial crisis. We also find a weak, positive relationship between relative contribution of common jumps and realized correlation, when we further sample high-frequency data into a year. We also observe that the volatility index and market index reveal the strongest relationship.
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Choi, Kyu Won (2012). Relative Contribution of Common Jumps in Realized Correlation. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/5215.
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