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
Issue Date: 2009-01
Appears in Collections:Sonderforschungsbereich (SFB) 823

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