New answers tagged statistical-finance
2
The relationship between covariance, standard deviation and correlation is:
$$ corr(x,y) = \frac{cov(x,y)}{\sigma_x \sigma_y}$$
So to construct your matrix you will have the variances in the diagonal:
$$ cov(x,x) = corr(x,x) \times \sigma_x \times \sigma_x = 1 \times \sigma_x^2 = \sigma_x^2 $$
And for the covariances:
$$ cov(x,y) = corr(x,y) \times \...
4
here is how to get covariance matrix from correlations:
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