Give an example showing that lack of correlation does not


This elementary exercise is intended to give an example showing that lack of correlation does not necessarily mean independence!

Let us assume that X ∼ N(0, 1) and let us define the random variable Y by:

1. Compute 𝔼{|X|}

2. Show that Y has mean zero, variance 1, and that it is uncorrelated with X.

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Financial Econometrics: Give an example showing that lack of correlation does not
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