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Correlation and the time interval over which the variables are measured – A non-parametric approach

It is known that when one (or both) variable is multiplicative, the choice of differencing intervals (n) (for example, differencing interval of n = 7 means a weekly datum which is the product of seven daily data) affects the Pearson correlation coefficient (ρ) between variables (often asset returns)...

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Detalles Bibliográficos
Autores principales: Schechtman, Edna, Shelef, Amit
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2018
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6224093/
https://www.ncbi.nlm.nih.gov/pubmed/30408091
http://dx.doi.org/10.1371/journal.pone.0206929