Home » Year » 2012 » Examination of Time-Variant Asset Correlations Using High- Frequency Data

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

By Mingwei Lei

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.

View Thesis

Advisor: George Tauchen | JEL Codes: G, G1, G10, G11, G14 | Tagged: Asset correlations, Diversification, Financial Crisis, High-Frequency Data, Market Volatility, Time-Variant Correlations, Time-Variant Volatility

Questions?

Undergraduate Program Assistant
Jennifer Becker
dus_asst@econ.duke.edu

Director of the Honors Program
Michelle P. Connolly
michelle.connolly@duke.edu