A residual-based multivariate constant correlation test

DOI10.1007/S00184-018-0675-YMaRDI QIDQ1669884zbMATH OpenOpenAlexFDO

Authors Fang Duan, Dominik Wied

Publication date 4 September 2018

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00184-018-0675-y

zbMATH Keywords

correlationhypothesis testingresidual effectstructural breaks

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Review text

A constant correlation test is proposed which allows for non-constant marginal variances in multivariate time series analysis. A bootstrap approximation is used to obtain the corresponding critical values for the test. A dataset of eight European stocks (Euro Stoxx 50) was used to validate the proposed multivariate constant correlation test. The selected dataset includes the period of the recent global financial crisis. The constructed theory paves the road for the development of a general theoretical foundation of the validity of bootstrap approximation in this constant correlation test.

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Cites work

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Cited in

(7)

• A test for constant correlations in a multivariate GARCH model
• Multiple break detection in the correlation structure of random variables
• A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
• Special issue with papers from the ``3rd workshop on goodness-of-fit and change-point problems
• A self-normalization break test for correlation matrix
• Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
• A nonparametric test for a constant correlation matrix

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