A nonparametric test for a constant correlation matrix

Authors
Citation
Wied, Dominik, A nonparametric test for a constant correlation matrix, Econometric reviews , 36(10), 2017, pp. 1157-1172
Journal title
ISSN journal
07474938
Volume
36
Issue
10
Year of publication
2017
Pages
1157 - 1172
Database
ACNP
SICI code
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.