LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices
Year of publication: |
2021
|
---|---|
Authors: | Ginker, Tim ; Lieberman, Offer |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 24.2021, 1, p. 58-82
|
Subject: | Autoregression | stochastic unit root | spurious regression | time-varying coefficients | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Korrelation | Correlation | Kapitaleinkommen | Capital income | Autokorrelation | Autocorrelation | Zeitreihenanalyse | Time series analysis |
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