Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...

The correlation report includes rectangular sum-of-squares and crossproducts, covariances, and the correlation matrix using the two WITH variables and two VAR variables. The descriptive statistics do ...

This example defines modules to compute correlation coefficients between numeric variables and standardized values for a set of data. /* Module to compute correlations */ start corr; n=nrow(x); /* ...

Suppose estimates are available for correlations between pairs of variables but that the matrix of correlation estimates is not positive definite. In various applications, having a valid correlation ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...

This is a preview. Log in through your library . Abstract Correlation matrices play a key role in many multivariate methods (e.g., graphical model estimation and factor analysis). The current state-of ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

Correlations are some of the most basic pieces of information that help investors understand market moves and build portfolios. However, they lead to some of the most unwieldy estimation problems ...