A cautionary note on computing conditional from unconditional correlations

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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

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