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

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  • Vortelinos, Dimitrios I.

Abstract

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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  • Vortelinos, Dimitrios I., 2010. "The properties of realized correlation: Evidence from the French, German and Greek equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 273-290, August.
    • Handle: RePEc:eee:quaeco:v:50:y:2010:i:3:p:273-290
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    4. Konstantinos Gkillas & Christoforos Konstantatos & Costas Siriopoulos, 2021. "Uncertainty Due to Infectious Diseases and Stock–Bond Correlation," Econometrics, MDPI, vol. 9(2), pages 1-18, April.

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