Properties of Realized Correlation

Dimitrios Vortelinos ()

A chapter in The Impact of the Global Financial Crisis on Emerging Financial Markets, 2011, pp 645-667 from Emerald Group Publishing Limited

Abstract: In this chapter, 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. Using intraday data I first 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 modelling 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 modelled with the simple heterogeneous autoregressive (HAR) model and the HAR model with jumps (HAR-J). This is the first time, to the best of my knowledge, that the realized correlation between the three indices for the Greek equity market is examined.

Keywords: Athens Stock Exchange; realized correlation; bipower variation; range; optimal sampling; long memory; asymmetry; jumps; heterogeneous autoregressive models (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eme:csefzz:s1569-3759(2011)0000093024

DOI: 10.1108/S1569-3759(2011)0000093024

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