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Economics 201FS: Realized Covariance, Realized Betas, Bipower Betas Grace Shuting Wei Spring February
Main Points Goals Stock Choices Basic Properties of Stocks Realized Covariance Realized Correlation Realized Betas Bipower Volatility Measures Extensions 2
Data UPS, FDX, SPFU – Nov – Dec – 2763 days – Aligned time series Data Outliers – Measurement error: UPS – Data of erroneous day removed 3
FDX: Price & Returns 4
FDX: Realized, Bipower Volatility 5
UPS: Price & Returns 6
UPS: Realized, Bipower Volatility 7
SPFU: Price & Returns 8
SPFU: Realized, Bipower Volatility 9
Realized Covariance, Correlation, Beta Realized Covariance Realized Correlation Realized Beta 10
FDX & Market: Realized Covariance, Corr 11
UPS & Market: Realized Covariance, Corr 12
FDX & UPS: Realized Covariance, Corr 13
Bipower Volatility, Beta 14
FDX: Bipower Beta 15
FDX: Scatter of Betas 16 Realized Beta Bipower Beta Mean SD Max Min
UPS: Bipower Beta 17
UPS: Scatter of Betas 18 Realized Beta Bipower Beta Mean SD Max Min
Extensions Comparison of bipower beta to βc Use of simulated data – Right answer Effect of microstructure noise on betas 19
Realized Covariance Signature Plots 20
Addition 1’s to
Addition Facts = = =
WEEK 1 You have 10 seconds to name…
MULT. INTEGERS 1. IF THE SIGNS ARE THE SAME THE ANSWER IS POSITIVE 2. IF THE SIGNS ARE DIFFERENT THE ANSWER IS NEGATIVE.
DIVIDING INTEGERS 1. IF THE SIGNS ARE THE SAME THE ANSWER IS POSITIVE 2. IF THE SIGNS ARE DIFFERENT THE ANSWER IS NEGATIVE.
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SUBTRACTING INTEGERS 1. CHANGE THE SUBTRACTION SIGN TO ADDITION 2. TAKE THE INVERSE OF THE SECOND NUMBER 3. FOLLOW THE RULES FOR ADDITION 4. ADD THE OPPOSITE.
MULTIPLYING MONOMIALS TIMES POLYNOMIALS (DISTRIBUTIVE PROPERTY)
TWO STEP EQUATIONS 1. SOLVE FOR X 3. DIVIDE BY THE NUMBER IN FRONT OF THE VARIABLE 2. DO THE ADDITION STEP FIRST.
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Twenty Questions Subject: Twenty Questions
ADDING INTEGERS 1. POS. + POS. = POS. 2. NEG. + NEG. = NEG. 3. POS. + NEG. OR NEG. + POS. SUBTRACT TAKE SIGN OF BIGGER ABSOLUTE VALUE.
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= This is the fact family. You say: 8+3=11 and 3+8= =8 and 11-8=3.
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FACTORING Think Distributive property backwards Work down, Show all steps ax + ay = a(x + y)
1 Chapter 40 - Physiology and Pathophysiology of Diuretic Action Copyright © 2013 Elsevier Inc. All rights reserved.
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MULTIPLICATION EQUATIONS 1. SOLVE FOR X 3. WHAT EVER YOU DO TO ONE SIDE YOU HAVE TO DO TO THE OTHER 2. DIVIDE BY THE NUMBER IN FRONT OF THE VARIABLE.
1 First EMRAS II Technical Meeting IAEA Headquarters, Vienna, 19–23 January 2009.
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Chapter 13 How Cells Obtain Energy from Food Essential Cell Biology Third Edition Copyright © Garland Science 2010.
Copyright © 2011, Elsevier Inc. All rights reserved. Chapter 4 Author: Julia Richards and R. Scott Hawley.
Copyright © 2011, Elsevier Inc. All rights reserved. Chapter 5 Author: Julia Richards and R. Scott Hawley.
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