Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25184 
Autor:innen: 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2007,012
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
A 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.
Schlagwörter: 
Lagrange multiplier test
constant correlation
trigonometric functions
JEL: 
C22
C32
G12
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
579.37 kB





Publikationen in EconStor sind urheberrechtlich geschützt.