TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
提出一种基于经验相关累积和的检验方法，用于检测未知时点的相关性变化，不要求原假设下输入独立同分布，并推导了极限零分布和局部功效公式。
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 delta method argument, provide a formula for its local power for particular types of structural changes, give some Monte Carlo evidence on its finite-sample behavior, and apply it to recent stock returns.