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dc.contributor.author Lei, Mingwei
dc.date.accessioned 2012-04-18T19:05:35Z
dc.date.available 2012-04-18T19:05:35Z
dc.date.issued 2012-04-18
dc.identifier.uri http://hdl.handle.net/10161/5155
dc.description.abstract 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. en_US
dc.description.sponsorship George Tauchen, Timothy Bollerslev en_US
dc.language.iso en_US en_US
dc.subject asset correlations, market volatility, high-frequency data, financial crisis, time-variant correlations, time-variant volatility, diversification en_US
dc.title Examination of Time-Variant Asset Correlations Using High- Frequency Data en_US
dc.type Thesis en_US

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