Arnold, MatthiasBissantz, NicolaiWied, DominikZiggel, Daniel2010-08-232010-08-232010-08-23http://hdl.handle.net/2003/2737810.17877/DE290R-14711We 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, G11enDiscussion Paper / SFB 823;34/2010CorrelationEconometric modelingFinancePortfolio optimization310330620report