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A nonparametric test for a constant correlation matrix
Authors:Dominik Wied
Affiliation:1. Fakult?t Statistik, TU Dortmund, Dortmund, Germanywied@statistik.tu-dortmund.de
Abstract:We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires constant expectations and variances, but only mild assumptions on the serial dependence structure, and has considerable power in finite samples. We derive the asymptotic distribution under the null hypothesis of no change as well as local power results and apply the test to stock returns.
Keywords:Fluctuation test  Functional delta method  Gaussian process  Local power
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