Universität zu Köln

Posch, Peter N., Ullmann, Daniel and Wied, Dominik (2019). Detecting structural changes in large portfolios. Empir. Econ., 56 (4). S. 1341 - 1358. HEIDELBERG: PHYSICA-VERLAG GMBH & CO. ISSN 1435-8921

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Abstract

Model-free tests for constant parameters often fail to detect structural changes in high dimensions. In practice, this corresponds to a portfolio with many assets and a reasonable long time series. We reduce the dimensionality of the problem by looking at a compressed panel of time series obtained by cluster analysis and the principal components of the data. With this procedure, we can extend tests for constant correlation matrix from a sub-portfolio to whole indices, which we exemplify using a major stock index.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Posch, Peter N. UNSPECIFIED UNSPECIFIED UNSPECIFIED Ullmann, Daniel UNSPECIFIED UNSPECIFIED UNSPECIFIED Wied, Dominik UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-152998
DOI:	10.1007/s00181-017-1392-5
Journal or Publication Title:	Empir. Econ.
Volume:	56
Number:	4
Page Range:	S. 1341 - 1358
Date:	2019
Publisher:	PHYSICA-VERLAG GMBH & CO
Place of Publication:	HEIDELBERG
ISSN:	1435-8921
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language CLUSTER-ANALYSIS; HIERARCHICAL STRUCTURE; PRINCIPAL; CONSTANT; POINTS Multiple languages Economics; Social Sciences, Mathematical Methods Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/15299