|Title:||A new online-test for changes in correlations between assets|
|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|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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|DP_3410_SFB823_arnold_bissantz_wied_ziggel.pdf||DNB||475.63 kB||Adobe PDF||View/Open|
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