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

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Presentation on theme: "Beta By Hao Sun. JPM: Realized Beta JPM: Bi-Power Beta."— Presentation transcript:

1 Beta By Hao Sun

2 JPM: Realized Beta

3 JPM: Bi-Power Beta

4 JPM Beta: Relative Contribution of Jumps

5 Price Jump: Merger

6 Realized vs. Bi- power Beta

7 JPM: Realized Beta

8 JPM: Bi-Power Beta

9 JPM Beta: Relative Contribution of Jumps

10 Realized vs. Bi-Power Beta

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

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

13 Relative Contribution of Jumps

14 BAC&SPFU: Realize Covariance

15 BAC&SPFU: Bi-Power Covariance

16 Relative Contribution of Jumps

17 BAC: Realized Beta

18 BAC: Bi-Power Beta

19 BAC Beta: Relative Contribution of Jumps

20 Realized vs. Bi-Power Beta

21 BAC: Realized Risks

22 BAC: Bi-Power Risks

23 JPM: Realized Risks

24 JPM: Bi-Power Risks


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