Wied, Dominik; Arnold, Matthias; Bissantz, Nicolai; … - In: AStA Wirtschafts- und Sozialstatistisches Archiv 6 (2013) 3, pp. 87-103
We analyze a new fluctuation test for constant correlation with respect to its properties and possible applications in finance. On the one hand, a simulation study examines the properties particularly with regard to a comparison with a previous standard method. On the other hand, we apply the...