We propose a nonparametric procedure for detecting and dating multiple change points in the correlation matrix of a sequence of random variables. The procedure is based on a test for changes in correlation matrices at an unknown point in time recently proposed by Wied (2014). Although the...

The paper proposes a test for constant correlations allowing for breaks at unknown times in the marginal means and variances. Theoretically and in an application to US and German stock returns, we find that not accounting for changes in the marginal moments has severe consequences. This is...

We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires constant expectations and variances, but only mild assumptions on the serial dependence structure and has considerable power in finite samples. We derive the...