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Multiple break detection in the correlation structure of financial returns

Galeano, Pedro; Wied, Dominik - 2011

Persistent link: https://www.econbiz.de/10009379510

The Gaussian mixture dynamic conditional correlation model : parameter estimation, value at risk calculation, and portfolio selection

Galeano, Pedro; Ausín, M. Concepción - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 559-571

Persistent link: https://www.econbiz.de/10008736138

Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen

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...

Persistent link: https://www.econbiz.de/10010994210

Testing for a change in correlation at an unknown point in time using an extended functional delta method

Wied, Dominik; Krämer, Walter; Dehling, Herold - In: Econometric theory 28 (2012) 3, pp. 570-589

Persistent link: https://www.econbiz.de/10009545827

Testing for structural breaks in correlation : does it improve Value-at-Risk forecasting?

Berens, Tobias; Weiß, Gregor; Wied, Dominik - 2013

Persistent link: https://www.econbiz.de/10009776165

A fluctuation test for constant correlation

Wied, Dominik; Arnold, Matthias - 2009

Persistent link: https://www.econbiz.de/10008811389

Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?

Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of empirical finance 32 (2015), pp. 135-152

Persistent link: https://www.econbiz.de/10011556809

A new online-test for changes in correlations between assets

Arnold, Matthias; Bissantz, Nicolai; Wied, Dominik; … - 2010

Persistent link: https://www.econbiz.de/10008839855

Improved GMM estimation of random effects panel data models with spatially correlated error components

Arnold, Matthias; Wied, Dominik - In: Papers in regional science : the journal of the … 93 (2014) 1, pp. 77-99

Persistent link: https://www.econbiz.de/10010478064

Testing for structural changes in large portfolios

Posch, Peter N.; Ullmann, Daniel; Wied, Dominik - 2015 - First draft: June 2015, This version: August 2015

Persistent link: https://www.econbiz.de/10011349596

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