The correlation tag has no wiki summary.
13
votes
3answers
4k views
Correlation between prices or returns?
If you are interested in determining whether there is a correlation between the Federal Reserve Balance Sheet and PPI, would you calculate the correlation between values (prices) or period-to-period ...
2
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0answers
242 views
How to calculate correlations(COT report) in R ? [closed]
First thing i want to do is load data(.csv) into R. The data i am concentrating are the COT reports. Want to load a single column into R and calculate the correlation with the proper instrument.
11
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6answers
1k views
Why does the VIX index have *any* correlation to the market?
It appears that the log 'returns' of the VIX index have a (negative) correlation to the log 'returns' of e.g. the S&P 500 index. The r-squared is on the order of 0.7. I thought VIX was supposed to ...
13
votes
4answers
643 views
Approximately what proportion of a stock’s volatility is explained by market movement?
Assume we decompose the daily (log) returns of a stock as beta times market movement plus an idiosyncratic part. If this is done ex-ante, what proportion of the variance is explained by the market ...
