  A CUSUM type test for constant correlation that goes beyond a previously
suggested correlation constancy test by considering Spearman's rho in arbitrary
dimensions is proposed. Since the new test does not require the existence of
any moments, the applicability on usually heavy-tailed financial data is
greatly improved. The asymptotic null distribution is calculated using an
invariance principle for the sequential empirical copula process. The limit
distribution is free of nuisance parameters and critical values can be obtained
without bootstrap techniques. A local power result and an analysis of the
behavior of the test in small samples is provided.
