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

  • Vortelinos, Dimitrios I.

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).

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File URL: http://www.sciencedirect.com/science/article/B6W5X-4YX002D-1/2/9775cf021035039153c827596e1b9081
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Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 50 (2010)
Issue (Month): 3 (August)
Pages: 273-290

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Handle: RePEc:eee:quaeco:v:50:y:2010:i:3:p:273-290
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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  1. Christiansen, Charlotte & Ranaldo, Angelo, 2005. "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Finance Research Group Working Papers F-2005-05, University of Aarhus, Aarhus School of Business, Department of Business Studies.
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