Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading
No 2009-W04, Economics Papers from Economics Group, Nuffield College, University of Oxford
In 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.
Keywords: Financial crisis; high frequency data; kernel based estimation (search for similar items in EconPapers)
JEL-codes: C32 E44 G01 (search for similar items in EconPapers)
Pages: 52 pages
New Economics Papers: this item is included in nep-acc and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0904
Access Statistics for this paper
More papers in Economics Papers from Economics Group, Nuffield College, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().