Browsing Undergraduate Honors Theses and Student papers by Subject "Realized correlation"

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  • Choi, Kyu Won (2012-04-25)
    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. In introducing stochastic models ...
  • Choi, Kyu Won (2012-04-25)
    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 ...