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Relative Contribution of Common Jumps in Realized Correlation

By Kyu Won Choi

This paper studies common intraday jumps and relative contribution of these common jumps
in realized correlation between individual stocks and market index, using high-frequency price
data. We find that the common jumps significantly contribute in realized correlation at different
threshold cut-offs and both common jumps and realized correlation are relatively consistent across
time period including financial crisis. We also find a weak, positive relationship between relative
contribution of common jumps and realized correlation, when we further sample high-frequency
data into a year. We also observe that the volatility index and market index reveal the strongest
relationship.

View Thesis

Advisor: Geourge Tauchen, Tim Bollerslev | JEL Codes: C40, C58, G10 | Tagged: Diffusive Covariation, Realized Correlation, Relative Contribution of Common Jumps

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