TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD

By Dominik Wied, Walter Krämer, Herold G. Dehling. Econometric Theory, 2011

119 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b697d0df665d3ab6c06863273536418b689aafb6

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Citations in the corpus

Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance (2017, unknown): “…ﬁnancial assets following the burst of the Dot-com bubble in 2001 or the default of Lehman Brothers in September 2008 ( Ofek and Richardson, 2003; Wied et al., 2012 ) but correlations are generally insensitive to changes in macroeconomic variables such as interest rates or inﬂation ( King et…”
Detecting gradual changes in locally stationary processes (2013, background): “…the mean or the variance of a time series [see Horváth et al. (1999) or Aue et al. (2009)], the parameters of regression models [see Andrews (1993) or Bai and Perron (1998)] or the second order characteristics of a time series [see Berkes et al. (2009), Wied et al. (2012) or Davis et al. (2006)].”
Correlation in Energy Markets (2017, methodology): “To identify the possible change points in the correlation, I employ the method proposed by Galeano and Wied (2014), which is an extension of the test proposed in Wied et al. (2009).”
Extensions of some classical methods in change point analysis (2014, methodology): “However, their assumption can be replaced with other measures of dependence, like mixing or near-epoch dependence conditions [cf. Wied et al. (2012)].”
Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data (2013, background): “Wied et al. (2011) study change-points in the correlation structure of near-epoch-dependent processes.”
Structural breaks in time series (2013, methodology): “Wied et al. (2012) use a similar approach to test for the constancy of cross-correlations in a bivariate setting.”