Time variation in the correlation structure of exchange rates: high-frequency analyses
✍ Scribed by Jayaram Muthuswamy; Sudipto Sarkar; Aaron Low; Eric Terry
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 224 KB
- Volume
- 21
- Category
- Article
- ISSN
- 0270-7314
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✦ Synopsis
The correlation structure of asset returns is a crucial parameter in risk management as well as in theoretical finance. In practice, however, the true correlation structure between the returns of assets can easily become obscured by time variation in the observed correlation structure and in the liquidity of the assets. We employed a timestamped high-frequency data set of exchange rates, namely, the US$deutsche mark and the US$-yen exchange rates, to calibrate the observed time variation in the correlation structure between their
The authors would like to thank an anonymous referee and the editor, Robert Webb, for their suggestions and recommendations.