A residual-based multivariate constant correlation test
type: Item
instance of: scholarly article
title: A residual-based multivariate constant correlation test
zbMATH Open document ID: 1401.62148
author: Fang Duan
author: Dominik Wied
published in: Metrika
publication date: 2018-09-04T00:00:00Z
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.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62G09
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6931817
zbMATH Keywords: structural breaks
zbMATH Keywords: hypothesis testing
zbMATH Keywords: correlation
zbMATH Keywords: residual effect
reviewed by: Denis Sidorov
MaRDI profile type: Publication
full work available at URL: s00184-018-0675-y
OpenAlex ID: W2884241624
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DOI: 10.1007/S00184-018-0675-Y
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description: scientific article; zbMATH DE number 6931817