Browsing by Subject "relative contribution of common jumps"

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    • 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 ...