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Examination of Time-Variant Asset Correlations Using High- Frequency Data

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Date
2012-04-18
Author
Lei, Mingwei
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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.
Type
Honors thesis
Subject
asset correlations, market volatility, high-frequency data, financial crisis, time-variant correlations, time-variant volatility, diversification
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https://hdl.handle.net/10161/5155
Citation
Lei, Mingwei (2012). Examination of Time-Variant Asset Correlations Using High- Frequency Data. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/5155.
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This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 United States License.

Rights for Collection: Undergraduate Honors Theses and Student papers


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