This simple package provides the Matlab code to implement the tests for detecting change points in conditional correlation structure. Reference: Barassi, M., Horváth, L. and Zhao, Y., (2018). Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. Journal of Business and Economic Statistics. 38, 340-349. The package contains two main files, cv_stat.m and utility.m
The file provides codes for computing the test statistics and the critical values for assessing the null hypothesis of no change.
The file provides all codes that need to run the main functions in the cv_stat.m file. Note that the MFE toolbox is also required to run this code, and it is publically accessible from the link "https://www.kevinsheppard.com/MFE_Toolbox".