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Financial Analysis: Realized vs. Bi-Power Covariance in JPM & BAC Portfolio

Explore the relative contributions of jumps, realized beta, and covariance in JPM and BAC portfolio using simulated data and Euler scheme. Evaluate RV vs. BV, semi-variance, and identify key factors for financial decision-making.

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Financial Analysis: Realized vs. Bi-Power Covariance in JPM & BAC Portfolio

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Presentation Transcript

  1. JPM and BAC cont’d By Hao Sun

  2. Realized Covariance 1

  3. Bipower Covariance

  4. Relative Contribution of Jumps

  5. Revised Contribution of Jumps

  6. RV vs. BV: JPM

  7. RV vs BV: BAC

  8. RV vs. BV: Portfolio of JPM & BAC

  9. Realized vs. Bi-Power: Covariance

  10. Simulated Data (Euler Scheme)

  11. RV vs. BV

  12. RV vs. BV

  13. RV vs. BV: Portfolio

  14. Realized vs. Bi-Power: Covariance

  15. JPM&SPFU Realized Covariance

  16. JPM&SPFU Bi-Power Covariance

  17. JPM: Realized Beta

  18. JPM: Bi-Power Beta

  19. JPM & SPFU: Realized Covariance

  20. JPM & SPFU: Bi-Power Covariance

  21. Relative Contribution of Jumps

  22. JPM: Realized Beta

  23. JPM: Bi-Power Beta

  24. Things to do • Continue to check codes • Looking at Semi-variance, and Realized Beta.

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