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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)...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2018
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| 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 |