Sévi, Benoît; Le Pen, Yannick; Chevallier, Julien; … - Université Paris-Dauphine (Paris IX) - 2011
arises because the return time-varying volatility biases sample correlation (see Forbes and Rigobon (2002) and references … of correlation is biased when volatility is time-varying. Namely, an increase in volatility artificially inflates the … level of correlation. As a consequence, we correct the correlation using a moving window volatility adjustment developed by …