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The instability of the Pearson correlation coefficient in the presence of coincidental outliers

Kim, Yunmi; Kim, Tae-hwan; Ergün, Tolga - In: Finance research letters 13 (2015), pp. 243-257

Persistent link: https://www.econbiz.de/10011552545

Robust estimation of covariance and its application to portfolio optimization

Huo, Lijuan; Kim, Tae-hwan; Kim, Yunmi - In: Finance research letters 9 (2012) 3, pp. 121-134

Persistent link: https://www.econbiz.de/10009628116

The Instability of the Pearson Correlation Coefficient in the Presence of Coincidental Outliers

Kim, Yunmi; Kim, Tae-Hwan; Ergun, Tolga - Economic Research Institute, College of Business and … - 2014

It is well known that any statistic based on sample averages can be sensitive to outliers. Some examples are the conventional moments-based statistics such as the sample mean, the sample variance, or the sample covariance of a set of observations on two variables. Given that sample correlation...

Persistent link: https://www.econbiz.de/10011188499

The Instability of the Pearson Correlation Coefficient in the Presence of Coincidental Outliers

Kim, Yunmi; Kim, Tae-Hwan; Ergun, Tolga - Economic Research Institute, College of Business and … - 2015

Persistent link: https://www.econbiz.de/10011191570

Why are stock returns and volatility negatively correlated?

Bae, Jinho; Kim, Chang-jin; Nelson, Charles R. - In: Journal of empirical finance 14 (2007) 1, pp. 41-58

Persistent link: https://www.econbiz.de/10003416062

Predicting stock returns : the information content of predictors across horizons

Deng, Kaihua; Kim, Chang-jin - In: Annals of financial economics 10 (2015) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10011408566