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dc.contributor.author Choi, Kyu Won
dc.date.accessioned 2012-04-25T13:58:57Z
dc.date.available 2012-04-25T13:58:57Z
dc.date.issued 2012-04-25
dc.identifier.uri http://hdl.handle.net/10161/5215
dc.description Honors thesis en_US
dc.description.abstract 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. en_US
dc.subject Realized correlation en_US
dc.subject relative contribution of common jumps en_US
dc.subject diffusive covariation en_US
dc.title Relative Contribution of Common Jumps in Realized Correlation en_US
dc.department Economics en_US

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