Testing for a change in correlation at an unknown point in time using an extended functional delta method

Econometric Theory

Volumn 28, Issue 3, 2012, Pages 570-589

  Wied, Dominik ^a   Krämer, Walter ^a   Dehling, Herold ^b  

^a TU DORTMUND UNIVERSITY   (Germany)

^b RUHR UNIVERSITY BOCHUM   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84860524737     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466611000661     Document Type: Article

References (42)

1. Andrews, D. (1997) A conditional Kolmogorov test. Econometrica 65, 1097-1128.
2. Aue, A., S. Hörmann, L. Horvath, & M. Reimherr (2009) Break detection in the covariance structure of multivariate time series models. Annals of Statistics 37, 4046-4087.
3. Billingsley, P. (1968) Convergence of Probability Measures. Wiley.
4. Carrasco, M. & X. Chen (2002) Mixing and moment properties of various GARCH and stochastic volatility models. Econometric Theory 18, 17-39.
5. Davidson, J. (1994) Stochastic Limit Theory. Oxford University Press.
6. Davis, R. & T. Mikosch (1998) The sample autocorrelations of heavy-tailed processes with applications to ARCH. Annals of Statistics 26, 2049-2080.
7. De Jong, R. & J. Davidson (2000) Consistency of kernel estimators of heteroscedastic and autocorrelated covariance matrices. Econometrica 68, 407-424.
8. Dias, A. & P. Embrechts (2004) Change point analysis for dependence structures in finance and insurance. In G. Szegö (ed.), Risk Measures of the 21th Century, pp. 321-335. Wiley.
9. Forbes, K. & R. Rigobon (2002) No contagion, only interdependence: Measuring stock market comovements. Journal of Finance 57, 2223-2261.
10. Galeano, P. & D. Peña (2007) Covariance changes detection in multivariate time series. Journal of Statistical Planning and Inference 137, 194-211.
11. Gill, R. (1989) Non- and semi-parametric maximum likelihood estimators and the von Mises method-Part 1. Scandinavian Journal of Statistics 16, 97-128.
12. Goetzmann, W., L. Li, & K. Rouwenhorst (2005) Long-term global market correlations. Journal of Business 78, 1-38.
13. Hansen, B. (1991) GARCH(1,1) processes are near-epoch dependent. Economics Letters 36, 181-186.
14. Inoue, A. (2001) Testing for distributional change in time series. Econometric Theory 17, 156-187.
15. Jennrich, R. (1970) An asymptotic chi-square test for the equality of two correlation matrices. Journal of the American Statistical Association 65, 904-912.
16. Kiefer, J. (1959) K-sample analogues of the Kolmogorov-Smirnov and Cramér-V. Mises Tests. Annals of Mathematical Statistics 30, 420-447.
17. Krämer, W. (2002) Statistische Besonderheiten von Finanzzeitreihen. Jahrbücher für National- ökonomie und Statistik 222, 210-229.
18. Krämer,W. & P. Schotman (1992) Range vs. maximum in the OLS-based version of the CUSUM test. Economics Letters 40, 379-381.
19. Krishan, C., R. Petkova, & P. Ritchken (2009) Correlation risk. Journal of Empirical Finance 16, 353-367.
20. Longin, F. & B. Solnik (1995) Is the correlation in international equity returns constant: 1960-1990? International Money and Finance 14, 3-26.
21. McAleer, M., F. Chan, S. Hoti, & O. Lieberman (2008) Generalized autoregressive conditional correlation. Econometric Theory 24, 1554-1583.
22. Andrews, D. (1997) A conditional Kolmogorov test. Econometrica 65, 1097-1128.
23. Aue, A., S. Hörmann, L. Horvath, & M. Reimherr (2009) Break detection in the covariance structure of multivariate time series models. Annals of Statistics 37, 4046-4087.
24. Billingsley, P. (1968) Convergence of Probability Measures. Wiley.
25. Carrasco, M. & X. Chen (2002) Mixing and moment properties of various GARCH and stochastic volatility models. Econometric Theory 18, 17-39.
26. Davidson, J. (1994) Stochastic Limit Theory. Oxford University Press.
27. Davis, R. & T. Mikosch (1998) The sample autocorrelations of heavy-tailed processes with applications to ARCH. Annals of Statistics 26, 2049-2080.
28. De Jong, R. & J. Davidson (2000) Consistency of kernel estimators of heteroscedastic and autocorrelated covariance matrices. Econometrica 68, 407-424.
29. Dias, A. & P. Embrechts (2004) Change point analysis for dependence structures in finance and insurance. In G. Szegö (ed.), Risk Measures of the 21th Century, pp. 321-335. Wiley.
30. Forbes, K. & R. Rigobon (2002) No contagion, only interdependence: Measuring stock market comovements. Journal of Finance 57, 2223-2261.
31. Galeano, P. & D. Peña (2007) Covariance changes detection in multivariate time series. Journal of Statistical Planning and Inference 137, 194-211.
32. Gill, R. (1989) Non- and semi-parametric maximum likelihood estimators and the von Mises method-Part 1. Scandinavian Journal of Statistics 16, 97-128.
33. Goetzmann, W., L. Li, & K. Rouwenhorst (2005) Long-term global market correlations. Journal of Business 78, 1-38.
34. Hansen, B. (1991) GARCH(1,1) processes are near-epoch dependent. Economics Letters 36, 181-186.
35. Inoue, A. (2001) Testing for distributional change in time series. Econometric Theory 17, 156-187.
36. Jennrich, R. (1970) An asymptotic chi-square test for the equality of two correlation matrices. Journal of the American Statistical Association 65, 904-912.
37. Kiefer, J. (1959) K-sample analogues of the Kolmogorov-Smirnov and Cramér-V. Mises Tests. Annals of Mathematical Statistics 30, 420-447.
38. Krämer, W. (2002) Statistische Besonderheiten von Finanzzeitreihen. Jahrbücher für National- ökonomie und Statistik 222, 210-229.
39. Krämer,W. & P. Schotman (1992) Range vs. maximum in the OLS-based version of the CUSUM test. Economics Letters 40, 379-381.
40. Krishan, C., R. Petkova, & P. Ritchken (2009) Correlation risk. Journal of Empirical Finance 16, 353-367.
41. Longin, F. & B. Solnik (1995) Is the correlation in international equity returns constant: 1960-1990? International Money and Finance 14, 3-26.
42. McAleer, M., F. Chan, S. Hoti, & O. Lieberman (2008) Generalized autoregressive conditional correlation. Econometric Theory 24, 1554-1583.