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Book cover: Contemporary Studies in Economic and Financial Analysis

Contemporary Studies in Economic and Financial Analysis

ISSN: 1569-3759
Series editor(s): Professor Robert Thornton, Professor J. Richard Aronson

Subject Area: Economics

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Properties of Realized Correlation


Document Information:
Title:Properties of Realized Correlation
Author(s):Dimitrios I. Vortelinos
Volume:93 Editor(s): Jonathan A. Batten, Peter G. Szilagyi ISBN: 978-0-85724-753-7 eISBN: 978-0-85724-754-4
Citation:Dimitrios I. Vortelinos (2011), Properties of Realized Correlation, in Jonathan A. Batten, Peter G. Szilagyi (ed.) The Impact of the Global Financial Crisis on Emerging Financial Markets (Contemporary Studies in Economic and Financial Analysis, Volume 93), Emerald Group Publishing Limited, pp.645-667
DOI:10.1108/S1569-3759(2011)0000093024 (Permanent URL)
Publisher:Emerald Group Publishing Limited
Article type:Chapter Item
Abstract:In this chapter, I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the three main FTSE indices of the Athens Stock Exchange. Using intraday data I first construct four state-of-the-art realized correlation estimators which I then use in testing for normality, long memory, asymmetries and jumps and also in modelling 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 modelled with the simple heterogeneous autoregressive (HAR) model and the HAR model with jumps (HAR-J). This is the first time, to the best of my knowledge, that the realized correlation between the three indices for the Greek equity market is examined.

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