Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Posch, Peter N. | - |
dc.contributor.author | Ullmann, Daniel | - |
dc.contributor.author | Wied, Dominik | - |
dc.date.accessioned | 2015-09-03T11:51:56Z | - |
dc.date.available | 2015-09-03T11:51:56Z | - |
dc.date.issued | 2015 | - |
dc.identifier.uri | http://hdl.handle.net/2003/34216 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-16295 | - |
dc.description.abstract | Model free tests for constant parameters often fail to detect structural changes in high dimensions. In practice, this corresponds to a portfolio with many assets and a reasonable long time series. We reduce the dimensionality of the problem by looking a compressed panel of time series obtained by cluster analysis and the principal components of the data. Using our methodology we are able to extend a test for a constant correlation matrix from a sub portfolio to whole indices and exemplify the procedure with the EuroStoxx index. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;32/2015 | en |
dc.subject | correlation | en |
dc.subject | portfolio management | en |
dc.subject | cluster analysis | en |
dc.subject | structural change | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Testing for structural changes in large portfolios | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_3215_SFB823_Posch_Ullmann_Wied.pdf | DNB | 1.14 MB | Adobe PDF | View/Open |
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This item is protected by original copyright
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