medium · Frm Part 2 Market Risk
A quantitative research team is analyzing the dependence between two emerging market equity indices. During a 36-month period of high market stress, the sample Pearson correlation coefficient is estimated at 0.45.
Using the standard approximation for estimation noise, what is the approximate standard error of this correlation estimate?
- 0.167
- 0.133
- 0.221
- 0.075
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