Testing for structural changes in large portfolios

Research English OPEN
Posch, Peter N.; Ullmann, Daniel; Wied, Dominik;
(2015)
  • Subject: info:eu-repo/classification/ddc/310 | info:eu-repo/classification/ddc/330 | info:eu-repo/classification/ddc/620 | correlation | portfolio management | cluster analysis | structural change

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 compresse... View more
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