- 1 Introduction
- 2 Modelling the portfolio dependence structure
- 2.1 The data
- 2.2 The standardized prots and losses
- 2.3 The dependence measure Spearman's rho
- 3 Time-dynamic and hierarchical testing for long-term level shifts of Spearman's rho
- 3.1 General concepts
- 3.2 Detecting long-term changes in the level of Spearman's rho over time
- 3.3 Hierarchical testing
- 3.4 The Bootstrap
- 4 Empirical results
- 4.1 Standardized returns
- 4.2 Multivariate Spearman's rho of the supervisory portfolio
- 4.3 Level changes of Spearman's rho of the supervisory portfolio over time
- 4.4 Hierarchical considerations for the supervisory portfolio
- 5 Conclusion
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005866169