Testing for structural changes in large portfolios

dc.contributor.author	Posch, Peter N.
dc.contributor.author	Ullmann, Daniel
dc.contributor.author	Wied, Dominik
dc.date.accessioned	2015-09-03T11:51:56Z
dc.date.available	2015-09-03T11:51:56Z
dc.date.issued	2015
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/34216
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-16295
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;32/2015	en
dc.subject	correlation	en
dc.subject	portfolio management	en
dc.subject	cluster analysis	en
dc.subject	structural change	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Testing for structural changes in large portfolios	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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