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A fluctuation test for constant correlation

Wied, Dominik; Arnold, Matthias - 2009

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

Exact test for breaks in covariance in multivariate regressions

Khalaf, Lynda; Kichian, Maral - In: Economics letters 95 (2007) 2, pp. 241-246

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Simple, robust, and powerful tests of the breaking trend hypothesis

Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Econometric theory 25 (2009) 4, pp. 995-1029

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The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006

the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …

Persistent link: https://www.econbiz.de/10011343243

Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance : some Monte Carlo evidence /

Caporale, Guglielmo Maria; Pittis, Nikitas - 2004

(Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these … tests perform better in the context of a dynamic model of the ADL type, which is not affected by serial correlation or …

Persistent link: https://www.econbiz.de/10009728982

Long memory and structural breaks in modeling the return and volatility dynamics of precious metals

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Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-min - In: Energy economics 48 (2015), pp. 46-60

Persistent link: https://www.econbiz.de/10011533698

Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework : the financial and economic role of structural breaks

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The role of correlation dynamics in sector allocation

Kalotychou, Elena; Staikouras, Sotiris K.; Zhao, Gang - In: Journal of banking & finance 48 (2014), pp. 1-12

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Modelling non-linear comovements between time series

Kyrtsou, Catherine; Vorlow, Costas - In: Journal of macroeconomics 31 (2009) 1, pp. 200-211

Persistent link: https://www.econbiz.de/10003840508