Correlation and the time interval over which the variables are measured

DOI10.1016/0304-4076(95)01795-XzbMATH Open0873.62056MaRDI QIDQ1362044FDOQ1362044

Authors: Haim Levy, Gideon Schwarz 

Publication date: 3 August 1997

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

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• Time aggregation effect on the correlation coefficient: added-systematically sampled framework
• Correlation and the time interval in multiple regression models
• Regression, correlation, and the time interval: additive-multiplicative framework
• Technique for determining the correlation coefficient for non-stationary time series
• scientific article; zbMATH DE number 5226608

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)

Cites Work

• Title not available (Why is that?)
• Regression Analysis for Multiplicative Phenomena and its Implication for the Measurement of Investment Risk
• The Capital Asset Pricing Model with Diverse Holding Periods
• Investment diversification and investment specialization and the assumed holding period
• Title not available (Why is that?)

Cited In (3)

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

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