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 |
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