Authors: | Arnold, Matthias Bissantz, Nicolai Wied, Dominik Ziggel, Daniel |
Title: | A new online-test for changes in correlations between assets |
Language (ISO): | en |
Abstract: | We apply a new test to determine whether correlations between assets are constant over time. The test statistic is a suitably standardized maximum of cumulative empirical correlation coefficients. An empirical application to various assets suggests that the test performs well in applications. We also propose a portfolio strategy based on our test which hedges against potential financial crises and show that it works in practice. JEL Classification: C12, C14, G01, G11 |
Subject Headings: | Correlation Econometric modeling Finance Portfolio optimization |
URI: | http://hdl.handle.net/2003/27378 http://dx.doi.org/10.17877/DE290R-14711 |
Issue Date: | 2010-08-23 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_3410_SFB823_arnold_bissantz_wied_ziggel.pdf | DNB | 475.63 kB | Adobe PDF | View/Open |
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