A cautionary note on computing conditional from unconditional correlations

DOI10.1016/J.ECONLET.2010.06.003zbMath1215.91081OpenAlexW2040287158MaRDI QIDQ547104

Walter Kramer, Jonas Pilgaard Kaiser

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

stock returns\(t\)-distributionconditional correlation

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Multivariate T-Distributions and Their Applications

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