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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. Martens, Martin & van Dijk, Dick, 2007. "Measuring volatility with the realized range," Journal of Econometrics, Elsevier, vol. 138(1), pages 181-207, May.
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  8. Karim Bannouh & Dick van Dijk & Martin Martens, 2009. "Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(4), pages 341-372, Fall.
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  11. Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 1-30.
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  14. Xin Huang & George Tauchen, 2005. "The Relative Contribution of Jumps to Total Price Variance," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(4), pages 456-499.
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