The properties of realized correlation: evidence from the French, German and Greek equity markets

Vortelinos, Dimitrios (2010) The properties of realized correlation: evidence from the French, German and Greek equity markets. The Quarterly Review of Economics and Finance, 50 (3). pp. 273-290. ISSN 1062-9769

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Abstract

In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the French, German and Greek equity markets. Using intraday data I first construct four state-of-the-art realized correlation estimators which I then use to testing for normality, long-memory, asymmetries and jumps and also to modeling 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 modeled with the simple Heterogeneous Autoregressive (HAR) model and the Heterogeneous Autoregressive model with Jumps (HAR−J).

Item Type:Article
Additional Information:In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the French, German and Greek equity markets. Using intraday data I first construct four state-of-the-art realized correlation estimators which I then use to testing for normality, long-memory, asymmetries and jumps and also to modeling 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 modeled with the simple Heterogeneous Autoregressive (HAR) model and the Heterogeneous Autoregressive model with Jumps (HAR−J).
Keywords:CAC40, Heterogenous autoregressive models, Jumps, Asymmetry, Long memory, Optimal sampling, Range, Bipower variation, Realized correlation, Athens stock exchange, DAX
Subjects:N Business and Administrative studies > N300 Finance
N Business and Administrative studies > N341 Financial Risk
N Business and Administrative studies > N321 Investment
N Business and Administrative studies > N110 European Business studies
Divisions:College of Social Science > Lincoln Business School
ID Code:4746
Deposited By: Dimitrios Vortelinos
Deposited On:13 Oct 2011 18:39
Last Modified:04 Dec 2013 20:44

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