A cautionary note on computing conditional from unconditional correlations

DOI10.1016/J.ECONLET.2010.06.003MaRDI QIDQ547104zbMATH OpenOpenAlexFDO

Authors Jonas Pilgaard Kaiser, Walter Krämer

Publication date 30 June 2011

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/26483

zbMATH Keywords

\(t\)-distributionconditional correlationstock returns

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
• Multivariate T-Distributions and Their Applications

Cited in

(1)

• On conditional correlations defined by a class of nonlinearly truncated distributions and their applications

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