Examination of Time-Variant Asset Correlations Using High- Frequency Data
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 thesisPermalink
https://hdl.handle.net/10161/5155Citation
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.Collections
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