Authors: Posch, Peter N.
Ullmann, Daniel
Wied, Dominik
Title: Testing for structural changes in large portfolios
Language (ISO): en
Abstract: Model free tests for constant parameters often fail to detect structural changes in high dimensions. In practice, this corresponds to a portfolio with many assets and a reasonable long time series. We reduce the dimensionality of the problem by looking a compressed panel of time series obtained by cluster analysis and the principal components of the data. Using our methodology we are able to extend a test for a constant correlation matrix from a sub portfolio to whole indices and exemplify the procedure with the EuroStoxx index.
Subject Headings: correlation
portfolio management
cluster analysis
structural change
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

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