Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6870141 | Computational Statistics & Data Analysis | 2014 | 14 Pages |
Abstract
A CUSUM type test for constant correlation that goes beyond a previously suggested correlation constancy test by considering Spearman's rho in arbitrary dimensions is proposed. Since the new test does not require the existence of any moments, the applicability on usually heavy-tailed financial data is greatly improved. The asymptotic null distribution is calculated using an invariance principle for the sequential empirical copula process. The limit distribution is free of nuisance parameters and critical values can be obtained without bootstrap techniques. A local power result and an analysis of the behavior of the test in small samples are provided.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Dominik Wied, Herold Dehling, Maarten van Kampen, Daniel Vogel,