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.