- Time-varying correlation and common structures in volatility
- Award date
- 17 November 2016
- Number of pages
- Document type
- PhD thesis
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- 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.
- Research conducted at: Universiteit van Amsterdam
Series: Tinbergen Institute research series 671
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