Abstract
This paper analyzes common factors in the continuous volatility
component, co-extreme and co-jump behavior of a sample of stock
market indices. In order to identify those components in stock price
processes during a trading day we use high-frequency data and techniques.
We show that in most of the cases one common factor is
enough to describe the largest part of the international variation in the
continuous part of volatility and that this factor’s importance has increased
over time. Furthermore, we find strong evidence for asymmetries
between extremely negative and positive co-extreme close-open
returns and of negative and positive co-jumps across countries.
component, co-extreme and co-jump behavior of a sample of stock
market indices. In order to identify those components in stock price
processes during a trading day we use high-frequency data and techniques.
We show that in most of the cases one common factor is
enough to describe the largest part of the international variation in the
continuous part of volatility and that this factor’s importance has increased
over time. Furthermore, we find strong evidence for asymmetries
between extremely negative and positive co-extreme close-open
returns and of negative and positive co-jumps across countries.
| Original language | English |
|---|---|
| Place of Publication | Utrecht |
| Publisher | UU USE Tjalling C. Koopmans Research Institute |
| Number of pages | 43 |
| Publication status | Published - 2009 |
Publication series
| Name | Discussion Paper Series / Tjalling C. Koopmans Research Institute |
|---|---|
| No. | 10 |
| Volume | 09 |
| ISSN (Electronic) | 2666-8238 |
Keywords
- Volatility
- realized volatility
- high-frequency
- comovements
- cojumps