Time variation in the correlation structure of exchange rates: high‐frequency analyses
Time variation in the correlation structure of exchange rates: high‐frequency analyses
复制标题
汇率相关结构的时间变化：高频分析
DOI：
--
复制
发表时间：
2001
期刊：
影响因子：
--
通讯作者：
Eric Terry
中科院分区：
文献类型：
--
作者：
J. Muthuswamy;S. Sarkar;A. Low;Eric Terry
资产回报的相关结构是风险管理和理论金融中的一个重要参数。然而，在实践中，资产回报之间的真实相关结构很容易被观察到的相关结构和资产流动性的时间变化所掩盖。我们采用了带有时间戳的高频汇率数据集，即美元兑德国马克和美元兑日元汇率，来校准观察到的它们回报之间的相关结构的时间变化。我们还记录了这些利率的流动性结构的时间变化。然后，我们尝试通过应用由 Scholes 和 Williams（1976）首次开发的非流动性交易模型，将观察到的相关性与流动性联系起来。我们表明，观察到的相关性结构受到流动性的强烈偏差，并且有可能对观察到的向下偏差的相关性进行至少部分纠正。因此，修正后的样本相关性更适合输入到用于预测、期权定价和其他风险管理应用的模型中。 © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:127–144, 2001
The correlation structure of asset returns is a crucial parameter in risk management as well as in theoretical finance. In practice, however, the true correlation structure between the returns of assets can easily become obscured by time variation in the observed correlation structure and in the liquidity of the assets. We employed a time‐stamped high‐frequency data set of exchange rates, namely, the US$–deutsche mark and the US$–yen exchange rates, to calibrate the observed time variation in the correlation structure between their returns. We also documented time variation in the liquidity structure of these rates. We then attempted to link the observed correlations with the liquidity via an application of an illiquid trading model first developed by Scholes and Williams (1976). We show that the observed correlation structure is strongly biased by the liquidity and that it is possible to effect at least a partial rectification of the otherwise downward‐biased observed correlation. The rectified sample correlation is, therefore, more appropriate for input into models used for forecasting, option pricing, and other risk management applications. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:127–144, 2001