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Correlation and the time interval in multiple regression models

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  • Jea, Rong
  • Lin, Jin-Lung
  • Su, Chao-Ton

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  • Jea, Rong & Lin, Jin-Lung & Su, Chao-Ton, 2005. "Correlation and the time interval in multiple regression models," European Journal of Operational Research, Elsevier, vol. 162(2), pages 433-441, April.
    • Handle: RePEc:eee:ejores:v:162:y:2005:i:2:p:433-441
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    References listed on IDEAS

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    1. Easton, Pd & Harris, Ts, 1991. "Earnings As An Explanatory Variable For Returns," Journal of Accounting Research, Wiley Blackwell, vol. 29(1), pages 19-36.
    2. Levy, Haim & Schwarz, Gideon, 1997. "Correlation and the time interval over which the variables are measured," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 341-350.
    3. Tang, Gordon Y. N., 1996. "Impact of investment horizon on currency portfolio diversification," International Business Review, Elsevier, vol. 5(1), pages 99-116, February.
    4. Haim Levy & Ilan Guttman & Isabel Tkatch, 2001. "Regression, Correlation, and the Time Interval: Additive-Multiplicative Framework," Management Science, INFORMS, vol. 47(8), pages 1150-1159, August.
    5. Haim Levy, 1972. "Portfolio Performance and the Investment Horizon," Management Science, INFORMS, vol. 18(12), pages 645-653, August.
    6. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
    7. Bruno, Michael & Easterly, William, 1998. "Inflation crises and long-run growth," Journal of Monetary Economics, Elsevier, vol. 41(1), pages 3-26, February.
    8. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1995. "Fundamental Economic Variables, Expected Returns, and Bond Fund Performance," Journal of Finance, American Finance Association, vol. 50(4), pages 1229-1256, September.
    9. McAvinchey, Ian D., 2003. "Modelling and forecasting in an energy demand system with high and low frequency information," Economic Modelling, Elsevier, vol. 20(1), pages 207-226, January.
    10. Souza, Leonardo R. & Smith, Jeremy, 2002. "Bias in the memory parameter for different sampling rates," International Journal of Forecasting, Elsevier, vol. 18(2), pages 299-313.
    11. Abeysinghe, Tilak, 1998. "Forecasting Singapore's quarterly GDP with monthly external trade," International Journal of Forecasting, Elsevier, vol. 14(4), pages 505-513, December.
    12. Meir I. Schneller, 1975. "Regression Analysis for Multiplicative Phenomena and its Implication for the Measurement of Investment Risk," Management Science, INFORMS, vol. 22(4), pages 422-426, December.
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    Cited by:

    1. Ziemowit Bednarek & Oleksandr Firsov & Pratish Patel, 2017. "A strong case to calculate the Treynor ratio using log-returns," Journal of Asset Management, Palgrave Macmillan, vol. 18(4), pages 317-325, July.
    2. Edna Schechtman & Amit Shelef, 2018. "Correlation and the time interval over which the variables are measured – A non-parametric approach," PLOS ONE, Public Library of Science, vol. 13(11), pages 1-9, November.

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