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

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Presentation transcript:

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 Data Outliers Measurement error: UPS Data of erroneous day removed Motivation for stock choice

FDX: Price & Returns Dec 2005: Legal dispute over classified drivers

FDX: Realized, Bipower Volatility

UPS: Price & Returns

UPS: Realized, Bipower Volatility

SPFU: Price & Returns

SPFU: Realized, Bipower Volatility

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

FDX: Realized Tripower Quarticity Interesting points: two segments; correlation correlated with vol (higher during the crash, but lower during recovery)

UPS: Realized Tripower Quarticity

SPFU: Realized Tripower Quarticity

FDX: Realized Tripower Quarticity Interesting points: two segments; correlation correlated with vol (higher during the crash, but lower during recovery)

UPS: Realized Tripower Quarticity

SPFU: Realized Tripower Quarticity

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