|Title:||A cautionary note on computing conditional from unconditional correlations|
|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|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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