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The covariance matrix of a list of instruments or indexes is made of the 2 by 2 covariance between the returns of each pair of them. It is hence symmetric and its diagonal is the variance of the returns.

The covariance matrix of a list of instruments or indexes is made of the 2 by 2 covariance between the returns of each pair of them. It is hence symmetric and its diagonal is the variance of the returns.

Random Matrix Theory addresses the case of very large covariance matrices when the number of data points (observations) available for each covariance is lower than the size (nbc of rows squared) of the matrix.