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Jump Robustness of Realized Beta and Disentanglement of Jump Beta

dc.contributor.author Sun, Hao
dc.date.accessioned 2012-04-17T21:04:35Z
dc.date.available 2012-04-17T21:04:35Z
dc.date.issued 2012-04-17
dc.identifier.uri https://hdl.handle.net/10161/5151
dc.description.abstract This paper constructs jump-robust estimators for the beta in Capital Asset Pricing Model (CAPM) in order to test the robustness of the recently developed Realized Beta in the presence of large discontinuous movements, or jumps, in stock prices. To complete the analysis on effect of jump on Realized Beta, this paper also disentangles jump beta and diffusive beta from the Realized Beta measurement in order to examine whether stocks react differently to jumps under the CAPM. Then, the results are compared to recent literatures tackling the same problem from different approaches.
dc.language.iso en_US
dc.subject Econometrics
dc.subject Jump
dc.subject Beta
dc.subject Realized
dc.subject Bi-power
dc.subject Capital Asset Pricing Model (CAPM)
dc.title Jump Robustness of Realized Beta and Disentanglement of Jump Beta
dc.type Honors thesis
dc.department Economics


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