@misc{Fischer2006Testing,
abstract = {A new test for constant correlation is proposed. The TC-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. The simulation results demonstrate that the TC-test guarantees correct empirical size, is powerful against many alternatives and able to detect structural breaks in correlations. Finally, application of the TC-test to foreign exchange rate data over the period of 15 years is given.},
address = {N\"{u}rnberg},
author = {Matthias J. Fischer},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330},
language = {eng},
number = {74/2006},
publisher = {Universit\"{a}t Erlangen-N\"{u}rnberg, Lehrstuhl f\"{u}r Statistik und empirische Wirtschaftsforschung},
series = {Diskussionspapiere // Friedrich-Alexander-Universit\"{a}t Erlangen-N\"{u}rnberg, Lehrstuhl f\"{u}r Statistik und \"{O}konometrie},
title = {Testing for constant correlation by means of trigonometric functions},
url = {http://hdl.handle.net/10419/29598},
year = {2006}
}