Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kaiser, Jonas | de |
dc.contributor.author | Krämer, Walter | de |
dc.date.accessioned | 2009-10-29T10:11:36Z | - |
dc.date.available | 2009-10-29T10:11:36Z | - |
dc.date.issued | 2009-01 | de |
dc.identifier.uri | http://hdl.handle.net/2003/26483 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-12657 | - |
dc.description.abstract | We show that some care should be exercised when inferring true unconditional correlations from observed conditional correlations, which is a frequent problem in empirical finance and elsewhere. We give a general formula for the relationship between the two and demonstrate its importance in the context of the bivariate t-distribution. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823; 8/2009 | de |
dc.subject | conditional correlation | en |
dc.subject | stock returns | en |
dc.subject | t-distribution | en |
dc.subject.ddc | 310 | de |
dc.subject.ddc | 330 | de |
dc.subject.ddc | 620 | de |
dc.title | A cautionary note on computing conditional from unconditional correlations | en |
dc.type | Text | de |
dc.type.publicationtype | report | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
This item is protected by original copyright |
This item is protected by original copyright
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