The properties of realized correlation: Evidence from the French, German and Greek equity markets
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).
Year of publication: |
2010
|
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Authors: | Vortelinos, Dimitrios I. |
Published in: |
The Quarterly Review of Economics and Finance. - Elsevier, ISSN 1062-9769. - Vol. 50.2010, 3, p. 273-290
|
Publisher: |
Elsevier |
Keywords: | DAX CAC40 Athens Stock Exchange Realized correlation Bipower variation Range Optimal sampling Long memory Asymmetry Jumps Heterogeneous autoregressive models |
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