Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/35823
Title: A study on correlations in financial market
Authors: LI ERHE
Keywords: correlation, volatility, lead-lag
Issue Date: 24-Aug-2012
Source: LI ERHE (2012-08-24). A study on correlations in financial market. ScholarBank@NUS Repository.
Abstract: In this thesis, a local linear method is proposed to study the correlations between financial assets (markets) during different market conditions. The impact of market return and market volatility on correlation is of main interest. The asymptotic properties of the estimator are investigated and expressions of the confidence band are derived. In real data test, equity correlations are shown to increase sharply during strong bear/bull market while market volatility has little influence on it. Furthermore, the possible lead-lag structure in equity return is examined with high frequency returns
URI: http://scholarbank.nus.edu.sg/handle/10635/35823
Appears in Collections:Master's Theses (Open)

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