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 |
URI: | http://hdl.handle.net/2003/34216 http://dx.doi.org/10.17877/DE290R-16295 |
Issue Date: | 2015 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_3215_SFB823_Posch_Ullmann_Wied.pdf | DNB | 1.14 MB | Adobe PDF | View/Open |
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This item is protected by original copyright
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