Wied, Dominik; Krämer, Walter; Dehling, Herold - In: Econometric Theory 28 (2012) 03, pp. 570-589
We propose a new test against a change in correlation at an unknown point in time based on cumulated sums of empirical correlations. The test does not require that inputs are independent and identically distributed under the null. We derive its limiting null distribution using a new functional...