Contributions to modelling correlations in financial econometrics

Modelling the correlations between financial asset returns is important for portfolio management and this thesis assesses a number of correlation models to provide insights into the best way to handle large portfolios of assets. It also outlines key features of stock correlation dynamics evident over the trading day and presents a model to capture this intraday pattern. Indeed, very little work exists on the dynamics of correlations during the trading day despite research into modelling intraday volatilities gaining momentum. These findings further the understanding of correlation dynamics, both in large portfolios as well as in returns sampled at high frequencies during market trading hours