Testing the Change in Correlation Structure across Markets: High-Dimensional Data

Suresh Saparya (saparya@iimk.ac.in) and Bhattacharya Malay (malayb@iimb.ac.in)
Additional contact information
Suresh Saparya: Indian Institute of Management Kozhikode
Bhattacharya Malay: Indian Institute of Management Bangalore

No 411, Working papers from Indian Institute of Management Kozhikode

Abstract: The Correlation Structure associated with a portfolio is subjected to vary across time. Studying the structural breaks in the time dependent Correlation matrix associated with a portfolio had been a subject of inter- est for a better understanding of the market movements, portfolio selection etc. The current paper proposes a methodology for testing the change in time dependent correlation structure of a portfolio in the high dimensional data using the techniques of generalised inverse, singular valued decompo- sition and multivariate distribution theory which has not been addressed so far. The asymptotic properties of the proposed test are derived. Also, the performance and the validity of the method is tested on real data set.

Pages: 3 pages
Date: 2021-03
New Economics Papers: this item is included in nep-ecm
References: Add references at CitEc
Citations:

Downloads: (external link)
https://iimk.ac.in/websiteadmin/FacultyPublication ... M&OM_040321.pdf?t=55 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iik:wpaper:411

Access Statistics for this paper

More papers in Working papers from Indian Institute of Management Kozhikode IIMK Campus PO, Kunnamanagalam, Kozhikode, Kerala, India -673570. Contact information at EDIRC.
Bibliographic data for series maintained by Sudheesh Kumar (library@iimk.ac.in).