Vortelinos, Dimitrios - Department of Economics, University of Peloponnese - 2009
In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations …-of-the-art realized correlation estimators which I then use in testing for normality, long-memory, asymmetries and jumps and also in … modeling for jumps. Jumps are detected when the realized correlation is higher than 0.99 and lower than 0.01 in absolute values …