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Correlation and the time interval over which the variables are measured

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  • Levy, Haim
  • Schwarz, Gideon
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-3T7HKRP-J/2/b88d9cea14f55235f43e8ec985f84343
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 76 (1997)
    Issue (Month): 1-2 ()
    Pages: 341-350

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    Handle: RePEc:eee:econom:v:76:y:1997:i:1-2:p:341-350

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    Web page: http://www.elsevier.com/locate/jeconom

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Levy, Haim, 1973. "The Demand for Assets Under Conditions of Risk," Journal of Finance, American Finance Association, vol. 28(1), pages 79-96, March.
    2. 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.
    3. John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    5. Haim Levy & Paul A. Samuelson, 1992. "The Capital Asset Pricing Model with Diverse Holding Periods," Management Science, INFORMS, vol. 38(11), pages 1529-1542, November.
    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. Haim Levy, 1972. "Portfolio Performance and the Investment Horizon," Management Science, INFORMS, vol. 18(12), pages B645-B653, August.
    8. Haim Levy, 1996. "Investment diversification and investment specialization and the assumed holding period," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(2), pages 117-134.
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    Cited by:
    1. 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.

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