A Nonparametric Test for a Constant Correlation Matrix

descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Other literature type 01 Jan 2013Embargo end date: 01 Oct 2012 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Wied, Dominik;

doi: 10.2139/ssrn.2372748 , 10.1080/07474938.2014.998152 , 10.48550/arxiv.1210.1412

arXiv: 1210.1412

A Nonparametric Test for a Constant Correlation Matrix

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Abstract

We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires only mild assumptions on the serial dependence structure and has considerable power in finite samples. We derive the asymptotic distribution under the null hypothesis of no change as well as local power results and apply the test to stock returns.

Related Organizations

University of Cologne
Germany
TU Dortmund University
Germany

Keywords

Methodology (stat.ME), FOS: Computer and information sciences, 62G10, 62H15, 62P05, 91B84, Statistics - Methodology

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