Post on 09-Jan-2016
description
JPM and BAC contd
JPM and BAC contdBy Hao SunRealized Covariance 1
Bipower Covariance
Relative Contribution of Jumps
Revised Contribution of Jumps
RV vs. BV: JPM
RV vs BV: BAC
RV vs. BV: Portfolio of JPM & BAC
Realized vs. Bi-Power: Covariance
Simulated Data (Euler Scheme)
RV vs. BV
RV vs. BV
RV vs. BV: Portfolio
Realized vs. Bi-Power: CovarianceJPM&SPFU Realized Covariance
JPM&SPFU Bi-Power Covariance
JPM: Realized Beta
JPM: Bi-Power Beta
JPM & SPFU: Realized Covariance
JPM & SPFU: Bi-Power Covariance
Relative Contribution of Jumps
JPM: Realized Beta
JPM: Bi-Power Beta
Things to doContinue to check codesLooking at Semi-variance, and Realized Beta.