کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
980427 | 1480463 | 2010 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The properties of realized correlation: Evidence from the French, German and Greek equity markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
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−JHAR−J).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 50, Issue 3, August 2010, Pages 273–290
Journal: The Quarterly Review of Economics and Finance - Volume 50, Issue 3, August 2010, Pages 273–290
نویسندگان
Dimitrios I. Vortelinos,