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The Properties of Realized Correlation: Evidence From the Greek Equity Market

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  • Dimitrios Vortelinos

Abstract

In this paper 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 (ASE). Using intraday data I rst 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 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). This is the rst time, to the best of my knowledge, that the realized correlation between the three indices for the Greek equity market is examined.

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File URL: http://econ.uop.gr/~econ/RePEc/pdf/real_corr_ASE.pdf
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Bibliographic Info

Paper provided by University of Peloponnese, Department of Economics in its series Working Papers with number 00045.

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Length: 28 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:uop:wpaper:00045

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Keywords: Athens Stock Exchange; realized correlation; bipower variation; range; optimal sampling; long memory; asymmetry; jumps; heterogeneous autoregressive models.;

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