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Economics 201FS: Jump Test, Covariance on jump and non-jump intervals

Economics 201FS: Jump Test, Covariance on jump and non-jump intervals. Grace Shuting Wei Spring 2011 2 March 2011. Main Points. Stock Choices Goals Basic Properties of Stocks Results Extensions. Data. UPS, FDX, SPFU Nov 11 1999 – Dec 30 2010 2763 days Aligned time series

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Economics 201FS: Jump Test, Covariance on jump and non-jump intervals

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  1. Economics 201FS: Jump Test, Covariance on jump and non-jump intervals Grace Shuting Wei Spring 2011 2 March 2011

  2. Main Points • Stock Choices • Goals • Basic Properties of Stocks • Results • Extensions

  3. Data • UPS, FDX, SPFU • Nov 11 1999 – Dec 30 2010 • 2763 days • Aligned time series • Data Outliers • Measurement error: UPS • Data of erroneous day removed

  4. FDX: Price & Returns

  5. FDX: Realized, Bipower Volatility

  6. UPS: Price & Returns

  7. UPS: Realized, Bipower Volatility

  8. SPFU: Price & Returns

  9. SPFU: Realized, Bipower Volatility

  10. Jumps • Realized TripowerQuarticity: Robust to Jumps • Statistically Significant Jumps at 0.99 level of significance (Huang and Tauchen 2005) • Correlations on intervals with/without jumps

  11. FDX: Realized TripowerQuarticity

  12. UPS: Realized TripowerQuarticity

  13. SPFU: Realized TripowerQuarticity

  14. FDX: Realized TripowerQuarticity

  15. UPS: Realized TripowerQuarticity

  16. SPFU: Realized TripowerQuarticity

  17. Questions • Test statistic?? • Jump beta • Difference in correlation between periods with jumps and periods with no jumps

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