covariance matrix scaling (in terms of time horizon)
Posted on 2014-04-17
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?