I'm trying to figure out if some emerging markets change over time.
- First of all I am going to check for changes in volatility. What would be a good method to do this. And do you suggest comparing the first half of the time series with the second or comparing the first 1/3 with the last 1/3.
- Secondly, for the correlation. I would like to check if the correlation between one emerging market and the SPX or FTSE100 changes over time, because the correlation should increase as the market 'emerges' and integrates with the emerged markets. Here as well, I wonder whether I should use halves or thirds.
I'm trying to figure out what would be a good method to test this. Do you have any suggestions?