Time-varying correlation and common structures in volatility
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| Award date | 17-11-2016 |
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| Number of pages | 138 |
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| Abstract | This thesis studies time series properties of the covariance structure of multivariate asset returns. First, the time-varying feature of correlation is investigated at the intraday level with a new correlation model incorporating the intraday correlation dynamics. Second, the thesis develops a multivariate factor model where the common factors are imposed directly on volatility. Third, the pricing implications of the volatility factors are shown by applications on option returns. |
| Document type | PhD thesis |
| Note | Research conducted at: Universiteit van Amsterdam Series: Tinbergen Institute research series 671 |
| Language | English |
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