- Link:
- http://hdl.handle.net/10161/5155
- Collection:
-
- Subject
- asset correlations, market volatility, high-frequency
data, financial crisis, time-variant correlations, time-variant
volatility, diversification
- Creator:
- Lei, Mingwei
- Description
- Drawing motivation from the 2007-2009 global
financial crises, this paper looks to further examine the potential
time-variant nature of asset correlations. Specifically, high
frequency price data and its accompanying tools are utilized to
examine the relationship between asset correlations and market
volatility. Through further analyses of this relationship using
linear regressions, this paper presents some significant results
that provide striking evidence for the time-variability of asset
correlations. These findings have crucial implications for
portfolio managers as well as risk management professionals alike,
especially in the contest of diversification.
- Description
- George Tauchen, Timothy Bollerslev
- Type
- Thesis
- Language
- en_US
- Access:
- Instructions in case access is denied
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