A cautionary note on computing conditional from unconditional correlations

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 111
Issue: 2
Pages: 176-179

Authors (2)

Kaiser, Jonas (not in RePEc) Krämer, Walter (Universität Dortmund)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:111:y:2011:i:2:p:176-179
Journal Field
General
Author Count
2
Added to Database
2026-01-25