Beta By Hao Sun. JPM: Realized Beta JPM: Bi-Power Beta.

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Presentation transcript:

Beta By Hao Sun

JPM: Realized Beta

JPM: Bi-Power Beta

JPM Beta: Relative Contribution of Jumps

Price Jump: Merger

Realized vs. Bi- power Beta

JPM: Realized Beta

JPM: Bi-Power Beta

JPM Beta: Relative Contribution of Jumps

Realized vs. Bi-Power Beta

JPM&SPFU: Realized Covariance (w/o 0’s)

JPM&SPFU: Bi-Power Covariance (w/o 0’s)

Relative Contribution of Jumps

BAC&SPFU: Realize Covariance

BAC&SPFU: Bi-Power Covariance

Relative Contribution of Jumps

BAC: Realized Beta

BAC: Bi-Power Beta

BAC Beta: Relative Contribution of Jumps

Realized vs. Bi-Power Beta

BAC: Realized Risks

BAC: Bi-Power Risks

JPM: Realized Risks

JPM: Bi-Power Risks