Jump Robustness of Realized Beta and Disentanglement of Jump Beta

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Date

2012-04-17

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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.

Type

Honors thesis

Department

Economics

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Subjects

Econometrics, Jump, Beta, Realized, Bi-power, Capital Asset Pricing Model (CAPM)

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https://hdl.handle.net/10161/5151

Citation

Sun, Hao (2012). Jump Robustness of Realized Beta and Disentanglement of Jump Beta. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/5151.

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Undergraduate Honors Theses and Student papers
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