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dc.contributor.authorArnold, Matthias-
dc.contributor.authorWeißbach, Rafael-
dc.date.accessioned2007-05-25T12:23:32Z-
dc.date.available2007-05-25T12:23:32Z-
dc.date.issued2007-05-25T12:23:32Z-
dc.identifier.urihttp://hdl.handle.net/2003/24316-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-267-
dc.description.abstractThis paper introduces a test for zero correlation in situations where the correlation matrix is large compared to the sample size. The test statistic is the sum of the squared correlation coe±cients in the sample. We derive its limiting null distribution as the number of variables as well as the sample size converge to infinity. A Monte Carlo simulation finds both size and power for finite samples to be suitable. We apply the test to the vector of default rates, a risk factor in portfolio credit risk, in different sectors of the German economy.en
dc.language.isoende
dc.subjectN-p- asymptoticsen
dc.subjectPortfolio credit risken
dc.subjectTesting correlationen
dc.subject.ddc004-
dc.titleTesting large dimensional correlationen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 475

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