Authors: Kaiser, Jonas
Krämer, Walter
Title: A cautionary note on computing conditional from unconditional correlations
Language (ISO): en
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.
Subject Headings: conditional correlation
stock returns
t-distribution
URI: http://hdl.handle.net/2003/26483
http://dx.doi.org/10.17877/DE290R-12657
Issue Date: 2009-01
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
008.pdfDNB408.01 kBAdobe PDFView/Open


This item is protected by original copyright



All resources in the repository are protected by copyright.