Correlation and the time interval over which the variables are measured

DOI10.1016/0304-4076(95)01795-XMaRDI QIDQ1362044zbMATH OpenFDO

Authors Haim Levy, Gideon Schwarz

Publication date 3 August 1997

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

stochastic processescorrelation coefficientinvestment horizondifferencing intervalportfolio selection correlations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20)

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• scientific article; zbMATH DE number 5226608

Cites work

• scientific article; zbMATH DE number 3816886 (Why is no real title available?)
• scientific article; zbMATH DE number 3048422 (Why is no real title available?)
• Investment diversification and investment specialization and the assumed holding period
• Regression Analysis for Multiplicative Phenomena and its Implication for the Measurement of Investment Risk
• The Capital Asset Pricing Model with Diverse Holding Periods

Cited in

(3)

• Technique for determining the correlation coefficient for non-stationary time series
• Correlation and the time interval in multiple regression models
• Regression, correlation, and the time interval: additive-multiplicative framework

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