Contributions to modelling correlations in financial econometrics

Scott, Ayesha T. (2016) Contributions to modelling correlations in financial econometrics. PhD thesis, Queensland University of Technology.

Abstract

Modelling the correlations between financial asset returns is important for portfolio management and this thesis assesses a number of correlation models to provide insights into the best way to handle large portfolios of assets. It also outlines key features of stock correlation dynamics evident over the trading day and presents a model to capture this intraday pattern. Indeed, very little work exists on the dynamics of correlations during the trading day despite research into modelling intraday volatilities gaining momentum. These findings further the understanding of correlation dynamics, both in large portfolios as well as in returns sampled at high frequencies during market trading hours.

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171 since deposited on 08 Aug 2016
171 in the past twelve months

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ID Code: 97634
Item Type: QUT Thesis (PhD)
Supervisor: Clements, Adam, Hurn, Stan, & Silvennoinen, Annastiina
Keywords: Multivariate correlation forecasts, Large dimensional correlation matrices, Multivariate GARCH, Equicorrelation, Intraday correlation modelling, Portfolio optimisation, Model Confidence Set
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Institution: Queensland University of Technology
Deposited On: 08 Aug 2016 00:56
Last Modified: 08 Aug 2016 00:56

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