JPM and BAC cont’d
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JPM and BAC cont’d By Hao Sun
description
JPM and BAC cont’d. By Hao Sun. Realized 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. - PowerPoint PPT Presentation
Transcript of JPM and BAC cont’d
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.
