Correlation and the time interval over which the variables are measured-Reference-Cited by-同舟云学术

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Correlation and the time interval over which the variables are measured

Published:1997-01 Issue:1-2 Volume:76 Page:341-350
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Levy Haim,Schwarz Gideon

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference15 articles.

1. Mathematical methods of statistics;Cramer,1947

2. The theory and practice of econometrics;Judge,1985

3. Diversification and time: Do investment horizons matter?;Lee;Journal of Portfolio Management,1990

4. The capital asset pricing model and the investment horizon;Levhari;Review of Economics and Statistics,1977

5. Portfolio performance and the investment horizon;Levy;Management Science,1972

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1. MCN-4 Invariants And Homomorphisms Implicit In, And The Irrelevance Of The Mean-Variance Framework: A Multi-Fractal Perspective.;SSRN Electronic Journal;2023

2. Is estimating the Capital Asset Pricing Model using monthly and short-horizon data a good choice?;Heliyon;2020-07

3. The systematic risk estimation models: A different perspective;Heliyon;2020-02

4. Correlation and the time interval over which the variables are measured – A non-parametric approach;PLOS ONE;2018-11-08

5. Jensen’s Alpha Estimation Models in Capital Asset Pricing Model;The Journal of Asian Finance, Economics and Business;2018-08-31

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