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
Portfolio optimization
Issue Date: 2010-08-23
Appears in Collections:Sonderforschungsbereich (SFB) 823

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