Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading
AbstractIn this paper we analyse market co-movements during the global financial crisis. Using high frequency data and accounting for market microstructure noise and non-synchronous trading, interdependencies between differing as-set classes such as equity, FX, fixed income, commodity and energy securities are quantified. To this end multivariate realised kernels and GARCH models are employed. We find that during the current period of market dislocations and times of increased risk aversion, assets have become more correlated when applying these intra-day measures. FX pairs seemingly lead the other variables, but commodities remain entirely unaffected.
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Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2009-W04.
Length: 52 pages
Date of creation: 01 Mar 2009
Date of revision:
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Web page: http://www.nuff.ox.ac.uk/economics/
Financial crisis; high frequency data; kernel based estimation;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G01 - Financial Economics - - General - - - Financial Crises
This paper has been announced in the following NEP Reports:
- NEP-ACC-2009-12-11 (Accounting & Auditing)
- NEP-ALL-2009-12-11 (All new papers)
- NEP-MST-2009-12-11 (Market Microstructure)
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