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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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Public Library of Science (PLoS)
2018-01-01
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| coleção: | PLoS ONE |
| Acesso em linha: | http://europepmc.org/articles/PMC6224093?pdf=render |
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