Browsing by Subject "diffusive covariation"

Now showing items 1-2 of 2

    • Relative Contribution of Common Jumps in Realized Correlation 

      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 ...

    • Relative Contribution of Common Jumps in Realized Correlation 

      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 ...