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https://hdl.handle.net/10419/29598
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Fischer, Matthias J. | en |
dc.date.accessioned | 2009-12-02 | - |
dc.date.accessioned | 2010-01-13T14:06:33Z | - |
dc.date.available | 2010-01-13T14:06:33Z | - |
dc.date.issued | 2006 | - |
dc.identifier.uri | http://hdl.handle.net/10419/29598 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aFriedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie |cNürnberg | en |
dc.relation.ispartofseries | |aDiskussionspapier |x74/2006 | en |
dc.subject.ddc | 330 | en |
dc.title | Testing for constant correlation by means of trigonometric functions | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 614055504 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:faucse:742006 | en |
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