Browsing by Subject "Realized correlation"

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    Relative Contribution of Common Jumps in Realized Correlation
    (2012-04-25) Choi, Kyu Won
    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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    ItemOpen Access
    Relative Contribution of Common Jumps in Realized Correlation
    (2012-04-25) Choi, Kyu Won
    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 for stock price returns, we show that discrete time model (binomial tree) converges to geometric brownian motion in continuous time. 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. However, we observe a statistically significant difference in realized correlation and suggestive difference in contribution of common jumps between financial and food industry. In addition, we 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.