Vortelinos, Dimitrios (2011) The properties of realized correlation. Contemporary Studies in Economic and Financial Analysis, 93 (93). pp. 645-667. ISSN 1569-3759

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Abstract

In this chapter, I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the three main FTSE indices of the Athens Stock Exchange. Using intraday data I first construct four state-of-the-art realized correlation estimators which I then use in testing for normality, long memory, asymmetries and jumps and also in modelling for jumps. Jumps are detected when the realized correlation is higher than 0.99 and lower than 0.01 in absolute values. Then the realized correlation is modelled with the simple heterogeneous autoregressive (HAR) model and the HAR model with jumps (HAR-J). This is the first time, to the best of my knowledge, that the realized correlation between the three indices for the Greek equity market is examined.

Item Type:	Article
Additional Information:	In this chapter, I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the three main FTSE indices of the Athens Stock Exchange. Using intraday data I first construct four state-of-the-art realized correlation estimators which I then use in testing for normality, long memory, asymmetries and jumps and also in modelling for jumps. Jumps are detected when the realized correlation is higher than 0.99 and lower than 0.01 in absolute values. Then the realized correlation is modelled with the simple heterogeneous autoregressive (HAR) model and the HAR model with jumps (HAR-J). This is the first time, to the best of my knowledge, that the realized correlation between the three indices for the Greek equity market is examined.
Keywords:	Correlation, ref19, refdoi
Subjects:	N Business and Administrative studies > N341 Financial Risk N Business and Administrative studies > N300 Finance N Business and Administrative studies > N321 Investment
Divisions:	College of Social Sciences > Faculty of Business & Law > Lincoln Law School
Depositing User:	Dimitrios Vortelinos
Date Deposited:	13 Oct 2011 18:32
Last Modified:	05 Apr 2013 15:00
URI:	http://eprints.lincoln.ac.uk/id/eprint/4744

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