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2007-03-15Buch DOI: 10.18452/4031
Are Correlations Constant Over Time?
dc.contributor.authorFischer, Matthias
dc.date.accessioned2017-06-15T23:23:05Z
dc.date.available2017-06-15T23:23:05Z
dc.date.created2007-03-22
dc.date.issued2007-03-15
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4683
dc.description.abstractA new test for constant correlation is proposed. Based on the bivariate Student-t distribution, this test is derived as Lagrange multiplier (LM) test. Whereas most of the traditional tests (e.g. Jennrich, 1970, Tang, 1995 and Goetzmann, Li & Rouwenhorst, 2005) specify the unknown correlations as piecewise constant, our model-setup for the correlation coefficient is based on trigonometric functions. Applying this test to assets from different financial markets (stocks, exchange rates, metals) there is empirical evidence that many of the correlations vary over time.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectLagrange multiplier testeng
dc.subjectconstant correlationeng
dc.subjecttrigonometric functionseng
dc.subject.ddc330 Wirtschaft
dc.titleAre Correlations Constant Over Time?
dc.typebook
dc.subtitleApplication of the CC-TRIGt-test to Return Series from Different Asset Classes
dc.identifier.urnurn:nbn:de:kobv:11-10076317
dc.identifier.doihttp://dx.doi.org/10.18452/4031
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages18
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2007
local.edoc.container-issue12
local.edoc.container-year2007
local.edoc.container-erstkatid2195055-6

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