Template-type: ReDIF-Paper 1.0
Author-Name: Nathaniel Frank
Author-Email: nathaniel.frank@nuffield.ox.ac.uk
Author-Workplace-Name: Oxford-Man Institute and Department of Economics, University of Oxford
Title: Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading
Abstract: 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
Classification-JEL: C32, E44, G01
Length: 52 pages
Creation-Date: 2009-03-01
Number: 2009-W04
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2009/w4/HF%20Working%20Paper.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0904