Examination of Time-Variant Asset Correlations Using High- Frequency Data
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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.
Subjectasset correlations, market volatility, high-frequency data, financial crisis, time-variant correlations, time-variant volatility, diversification
CitationLei, 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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Rights for Collection: Undergraduate Honors Theses and Student papers