Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen

Dominik Wied, Matthias Arnold (), Nicolai Bissantz () and Daniel Ziggel ()

AStA Wirtschafts- und Sozialstatistisches Archiv, 2013, vol. 6, issue 3, 87-103

Abstract: We analyze a new fluctuation test for constant correlation with respect to its properties and possible applications in finance. On the one hand, a simulation study examines the properties particularly with regard to a comparison with a previous standard method. On the other hand, we apply the test on real financial time series, evaluate the results with respect to their plausibility and reveal potential fields for further applications. The results indicate that the test is useful for practical applications in finance. Copyright Springer 2013

Keywords: Korrelation; Strukturbrüche; Portfoliooptimierung; C12; C14; G01; G11; Correlation; Structural break; Portfolio optimization (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:astaws:v:6:y:2013:i:3:p:87-103

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DOI: 10.1007/s11943-012-0115-9

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