Solved

covariance matrix scaling (in terms of time horizon)

Posted on 2014-04-17
1
380 Views
Last Modified: 2014-04-24
Hi,

I make research in the field of finance and have a problem I can not find any reasonable solution.

I try to find a way to scale the correlations / covariances in terms of time horizon. More specifically, I want to find out if there is a way to get e.g. from daily to monthly correlations / covariances. Is there a ratio or model to solve the following problem:

Corr(monthly) = x*Corr(daily)

If somebody has already faced the same problem and found a solution, could you pls indicate a reliable source if available?

Thanks,
m
0
Comment
Question by:mcastna
1 Comment
 
LVL 9

Accepted Solution

by:
richdiesal earned 500 total points
ID: 40007091
A correlation is a standardized covariance.  It has no scale.  So without additional data, they will be equal.

Covariance does have scale, and you could theoretically determine what it would be, but that is not something I have ever heard of anyone doing before. It also wouldn't tell you anything you didn't already know, so I don't see why you'd need it.
0

Featured Post

Is Your Active Directory as Secure as You Think?

More than 75% of all records are compromised because of the loss or theft of a privileged credential. Experts have been exploring Active Directory infrastructure to identify key threats and establish best practices for keeping data safe. Attend this month’s webinar to learn more.

Question has a verified solution.

If you are experiencing a similar issue, please ask a related question

Software development teams often use in-memory caches to improve performance. They want to speed up access to, or reduce load on, a backing store (database, file system, etc.) by keeping some or all of the data in memory.   You should implement a …
Introduction This article discusses the Chain of Responsibility pattern, explaining What it is;Why it is; andHow it is At the end of this article, I hope you will be able to describe the use and benefits of Chain of Responsibility.  Backgrou…
This Micro Tutorial will teach you how to censor certain areas of your screen. The example in this video will show a little boy's face being blurred. This will be demonstrated using Adobe Premiere Pro CS6.
In this video I am going to show you how to back up and restore Office 365 mailboxes using CodeTwo Backup for Office 365. Learn more about the tool used in this video here: http://www.codetwo.com/backup-for-office-365/ (http://www.codetwo.com/ba…

920 members asked questions and received personalized solutions in the past 7 days.

Join the community of 500,000 technology professionals and ask your questions.

Join & Ask a Question

Need Help in Real-Time?

Connect with top rated Experts

13 Experts available now in Live!

Get 1:1 Help Now