A new online-test for changes in correlations between assets

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dc.contributor.authorArnold, Matthias
dc.contributor.authorBissantz, Nicolai
dc.contributor.authorWied, Dominik
dc.contributor.authorZiggel, Daniel
dc.date.accessioned2010-08-23T10:05:49Z
dc.date.available2010-08-23T10:05:49Z
dc.date.issued2010-08-23
dc.description.abstractWe 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, G11en
dc.identifier.urihttp://hdl.handle.net/2003/27378
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-14711
dc.language.isoenen
dc.relation.ispartofseriesDiscussion Paper / SFB 823;34/2010
dc.subjectCorrelationen
dc.subjectEconometric modelingen
dc.subjectFinanceen
dc.subjectPortfolio optimizationen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleA new online-test for changes in correlations between assetsen
dc.typeTextde
dc.type.publicationtypereportde
dcterms.accessRightsopen access

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