Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5060529 | Economics Letters | 2011 | 4 Pages |
Abstract
We show that some care is needed 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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jonas Kaiser, Walter Krämer,