Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Arnold, Matthias | - |
dc.contributor.author | Bissantz, Nicolai | - |
dc.contributor.author | Wied, Dominik | - |
dc.contributor.author | Ziggel, Daniel | - |
dc.date.accessioned | 2010-08-23T10:05:49Z | - |
dc.date.available | 2010-08-23T10:05:49Z | - |
dc.date.issued | 2010-08-23 | - |
dc.identifier.uri | http://hdl.handle.net/2003/27378 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-14711 | - |
dc.description.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 | en |
dc.language.iso | en | en |
dc.relation.ispartofseries | Discussion Paper / SFB 823;34/2010 | - |
dc.subject | Correlation | en |
dc.subject | Econometric modeling | en |
dc.subject | Finance | en |
dc.subject | Portfolio optimization | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | A new online-test for changes in correlations between assets | en |
dc.type | Text | de |
dc.type.publicationtype | report | de |
dcterms.accessRights | open access | - |
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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