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Correlation with Differ Units of Measurement

When calculationg the Pearson correlation coefficient, it does not matter. It is defined as $$ \rho\equiv \frac{cov(x,y)}{\sigma_x\sigma_y}=\frac{\mathrm{E}\left((x-\mu_x)(y-\mu_y)\right)}{\sigma_x\...
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1 vote

Correlation with Differ Units of Measurement

When calculating a correlation it is generally advised to standardize, yes. I don't see why this case would be an exception although failing to standardize wouldn't probably be the biggest issue here. ...
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Mean-variance framework with endogenous correlations

Yep, A Rational Theory of Mutual Funds' Attention Allocation has one such example of this, where excess returns are an endogenous response to attention allocation. One of my favorite papers of all ...
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Correlation between CDS return relevance

In credit world, there are (at least) two kinds of correlations: among credit spreads (CDS spreads, Z-spreads, etc) among defaults (and other credit events). I suggest you get hold of Youssef ...
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Cholesky decomposition reduces volatility of simulated Wiener Process / Brownian Motions

Fix the following part # Transform into realizations of correlated Wiener processes W = eps @ L.T Originally, it should be L @ z...
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