EconPapers    
Economics at your fingertips  
 

Detecting structural changes in large portfolios

Peter N. Posch (), Daniel Ullmann () and Dominik Wied
Additional contact information
Peter N. Posch: TU Dortmund University
Daniel Ullmann: TU Dortmund University

Empirical Economics, 2019, vol. 56, issue 4, 1341-1357

Abstract: Abstract 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 at a compressed panel of time series obtained by cluster analysis and the principal components of the data. With this procedure, we can extend tests for constant correlation matrix from a sub-portfolio to whole indices, which we exemplify using a major stock index.

Keywords: Correlation; Structural change; Cluster analysis; Portfolio management (search for similar items in EconPapers)
JEL-codes: C12 C55 C58 G11 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s00181-017-1392-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:empeco:v:56:y:2019:i:4:d:10.1007_s00181-017-1392-5

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2019-05-21
Handle: RePEc:spr:empeco:v:56:y:2019:i:4:d:10.1007_s00181-017-1392-5