Skip to main content
Duke University Libraries
DukeSpace Scholarship by Duke Authors
  • Login
  • Ask
  • Menu
  • Login
  • Ask a Librarian
  • Search & Find
  • Using the Library
  • Research Support
  • Course Support
  • Libraries
  • About
View Item 
  •   DukeSpace
  • Theses and Dissertations
  • Undergraduate Honors Theses and Student papers
  • View Item
  •   DukeSpace
  • Theses and Dissertations
  • Undergraduate Honors Theses and Student papers
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Cross-Stock Comparisons of the Relative Contribution of Jumps to Total Price Variance

Thumbnail
View / Download
673.8 Kb
Date
2012-04-15
Author
Bhattacharya, Vivek
Repository Usage Stats
331
views
285
downloads
Abstract
This paper uses high-frequency price data to study the relative contribution of jumps to the total volatility of an equity. In particular, it systematically compares the relative contribution of jumps across a panel of stocks from three different industries by computing the cross-correlation of this statistic for pairs of stocks. We identify a number of empirical regularities in this cross-correlation and compare these observations to predictions from a standard jump-diffusion model for the joint price process of two stocks. A main finding of this paper is that this jump-diffusion model, when calibrated to particular pairs of stocks in the data, cannot replicate some of the empirical patterns observed. The model predictions differ from the empirical observations systematically: predictions for pairs of stocks from the same industry are on the whole much less accurate than predictions for pairs of stocks from different industries. Some possible explanations for this discrepancy are discussed.
Description
Honors Thesis for Economics, 2012
Type
Honors thesis
Subject
econometric modeling
financial econometrics
high-frequency data
jumps
Permalink
https://hdl.handle.net/10161/5130
Citation
Bhattacharya, Vivek (2012). Cross-Stock Comparisons of the Relative Contribution of Jumps to Total Price Variance. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/5130.
Collections
  • Undergraduate Honors Theses and Student papers
More Info
Show full item record
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 United States License.

Rights for Collection: Undergraduate Honors Theses and Student papers


Works are deposited here by their authors, and represent their research and opinions, not that of Duke University. Some materials and descriptions may include offensive content. More info

Make Your Work Available Here

How to Deposit

Browse

All of DukeSpaceCommunities & CollectionsAuthorsTitlesTypesBy Issue DateDepartmentsAffiliations of Duke Author(s)SubjectsBy Submit DateThis CollectionAuthorsTitlesTypesBy Issue DateDepartmentsAffiliations of Duke Author(s)SubjectsBy Submit Date

My Account

LoginRegister

Statistics

View Usage Statistics
Duke University Libraries

Contact Us

411 Chapel Drive
Durham, NC 27708
(919) 660-5870
Perkins Library Service Desk

Digital Repositories at Duke

  • Report a problem with the repositories
  • About digital repositories at Duke
  • Accessibility Policy
  • Deaccession and DMCA Takedown Policy

TwitterFacebookYouTubeFlickrInstagramBlogs

Sign Up for Our Newsletter
  • Re-use & Attribution / Privacy
  • Harmful Language Statement
  • Support the Libraries
Duke University