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
Motivation for stock choice

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

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

12. UPS: Realized Tripower Quarticity

13. SPFU: Realized Tripower Quarticity

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

15. UPS: Realized Tripower Quarticity

16. SPFU: Realized Tripower Quarticity

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