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Autoren: 
Fischer, Matthias J.
Datum: 
2007
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2007,012
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

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