Term of Award
Master of Science in Mathematics (M.S.)
Document Type and Release Option
Thesis (open access)
Department of Mathematical Sciences
Committee Member 1
Committee Member 2
Committee Member 3
In this thesis we explore the problem of detecting change-points in cross-asset correlations using a non-parametric approach. We began by comparing and contrasting several common methods for change-point detection as well as methods for measuring correlation. We finally settle on a statistic introduced in early 2012 by Herold Dehling et.al. and test this statistic against real world financial data. We provide the estimated change-point for this data as well as the asymptotic p-value associated with this statistic. Once this process was complete we went on to use simulated data to measure the accuracy, power, and type 1 error associated with this new statistic. Finally, we were able to draw conclusions on the functionality and usefulness of this statistic.
Diamond, L. Kaili, "A Non-Parametric Approach to Change-Point Detection in Cross-Asset Correlations" (2012). Electronic Theses & Dissertations. 16.