New answers tagged correlation
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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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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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3
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Accepted
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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