|Authors:||Posch, Peter N.|
|Title:||Testing for structural changes in large portfolios|
|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.|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
Files in This Item:
|DP_3215_SFB823_Posch_Ullmann_Wied.pdf||DNB||1.14 MB||Adobe PDF||View/Open|
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