<we><edit> <!-- questions and answers -->
interest-rates
arbitrage
asset-pricing
index
black-scholes
finance-mathematics
yield-curve
returns
python
quantlib
cds
binomial-tree
time-series
research
equities
heston
implied-volatility
delta
stochastic-volatility
var
econometrics
market-data
finance
modern-portfolio-theory
market-microstructure
correlation
How to model default correlation deviation?
equities
correlation
Calculate correlation between two sub portfolios and the combined portfolio
statistics
portfolio-management
correlation
modern-portfolio-theory
covariance
Correlation Oil Price with Bond Fund - question on how to tackle this
bond
correlation
Monte-Carlo simulation Hull-White process
monte-carlo
correlation
python
quantlib
hullwhite
Instruments cointegration: how to handle negative slopes
correlation
hedging
cointegration
strategy
Bivariate risk neutral distribution through copula
correlation
risk-neutral-measure
distribution
copula
generating a correlated RV which has the same correlation to existing samples
monte-carlo
correlation
correlation-matrix
Dollar Index vs Hang Seng Index: Negative correlation, but what's driving it?
equities
fx
correlation
index
Quanto effect in cross currency mtm swaps
correlation
cross-currency-basis
Correlation between equity returns and debt spread changes
equities
bond
correlation
Correlation between bond yields and stock returns?
equities
correlation
bond-yields
Difference between Local Vol and Copula
options
correlation
copula
local-volatility
basket
Falling Futures prices positively correlated with interest rates
interest-rates
correlation
futures
forward
Calculating Marginal Contribution to Correlation from PnL Stream
modern-portfolio-theory
correlation
Pairs Trading Beta - beta look-back period differing from other inputs?
correlation
python
beta
pairs-trading
Correlated assets in Monte Carlo simulation
monte-carlo
correlation
random-walk
asset
How to calculate the contribution (%) of an asset to the global correlation of the portfolio?
portfolio-management
modern-portfolio-theory
correlation
index
Ordered correlated random numbers
correlation
Implied correlation
correlation
implied
cdo
Calculate price variance caused by denominating currency
correlation
currency
Pearson correlation coefficient based on OHLC data
correlation
ohlc
Get Implied Correlation from Call VS Call price
correlation
exotics
call
put
basket
Counterintuitive time varying Beta with Kalman filter
time-series
r
correlation
beta
kalman
Why isn't it appropriate to use correlation between prices in a pairs trade strategy?
correlation
pairs-trading
Absolute or relative strikes?
interest-rates
implied-volatility
correlation
risk-neutral-measure
Implementation of total correlation of assets in R
portfolio-management
correlation
What is the best way to "fix" a covariance matrix that is not positive semi-definite?
risk
statistics
research
correlation
covariance
Correlation of asset X with a portfolio of asset Y and Z
correlation
covariance
Gaussian vs Student Copula applied to finance
correlation
value-at-risk
copula
normal-distribution
Control for non-synchronous trading in correlations
equities
returns
correlation
market
Two time series similarity with slightly offset timestamps
time-series
correlation
What is the total correlation between assets in a portfolio?
portfolio-management
statistics
correlation
statistical-finance
covariance-matrix
z-score versus log standardisation of stock prices for calculating correlation; which to use (in ML clustering, distance measure)?
time-series
correlation
machine-learning
log-returns
cluster
How to calculate exceedance correlation using copula dependence?
correlation
dependence
CDO Implied correlation: what for?
implied-volatility
correlation
credit-risk
cdo
How variance dispersion trades become short volatility
options
volatility
correlation
variance
short-selling
portfolio diversification tester
quant-trading-strategies
correlation
covariance
diversification
Spot an activity of stock tickers
equities
correlation
reference-request
Pricing and Hedging an Option through a Currency Triangle
fx
correlation
delta-hedging
black76
Transform raw forecasts into orthogonal forecasts
correlation
finance-mathematics
covariance-matrix
forecast
Correlation of Asynchronous Brownian Motion
market-data
correlation
brownian-motion
P2P lending and correlation with other major asset classes
portfolio-management
correlation
reference-request
Return correlations
correlation
index
mutual-fund
funds
Time series pair X, Y, with first half correlation 0.3 and rest half 0.4, what is the general correlation?
correlation
Adding negative EV position to portfolio for diversification?
risk
correlation
sharpe-ratio
Why does the presence of cointegration solve the problem of spurious correlation?
correlation
reference-request
cointegration
Portfolio of single stock short put options: which correlation structure preferrable?
options
correlation
portfolio
Low beta and high correlation
portfolio-management
correlation
beta
Correlation between two indexes
risk
correlation
index
standard-deviation
financial-markets
Do two stocks with the same beta have a correlation of 1?
correlation
beta
capm
Simulating Co-Integrated Assets
monte-carlo
correlation
econometrics
cointegration
random-walk
Decreasing dependence during the financial crisis?
risk
correlation
risk-models
diversification
Computing Correlation between Forward Rates
stochastic-calculus
correlation
forward
forward-rate
Co integration of diverging time series
time-series
correlation
cointegration
mean-reversion
Puzzler on construction of a 2-stock portfolio
equities
correlation
hedging
FX Forward pricing with correlation between FX and Zero-Cupon
fx
correlation
forward
forward-rate
How to estimate an Engle's asymmetric DCC model in R?
time-series
r
garch
correlation
dynamic
Average Correlation
correlation
correlation-matrix
covariance-matrix
How exactly are correlated defaults used/analyzed?
portfolio-management
correlation
modern-portfolio-theory
default-probability
Why do two perfectly negatively correlated assets not return 0%?
returns
correlation
standard-deviation
How to replicate a correlation swap using only vanilla options and underlying
options
correlation
replication
Correlation of a lognormal asset and a normal asset
correlation
normal-distribution
What is the most stable, non-trivial dependence structure in finance?
finance
correlation
dependence
Normalization of Market Data in Time Series Correlation
time-series
correlation
market-data
pricing
forecasting
Account for empirical relationship between signal and market data
time-series
quant-trading-strategies
correlation
Are two stochastic processes independent if the Wiener processes inside are uncorrelated
stochastic-processes
stochastic-calculus
correlation
covariance
wienerprocess
Why does the correlation between r and V in Longstaff and Schwartz 1992 model is positive?
interest-rates
correlation
pricing
vasicek
Correlation between asset A and Portfolio X (which contains A)
correlation
beta
Creating index from bloomberg data in matlab
correlation
matlab
bloomberg
Correlation between 2 stocks
returns
correlation
Correlation: Use Price or Return? Return doesn't make sense
correlation
price
return
serial correlation, Fama MacBeth (1973) procedure incorporating momentum
time-series
correlation
momentum
What is the covariance of two correlated Ornstein-Uhlenbeck processes?
correlation
covariance
mean-reversion
In May of 2005, several large hedge funds had speculative positions in CDO tranches
risk-management
correlation
hedge-fund
cdo
Time-series similarity measures
time-series
correlation
How to calculate implied volatility smile of basket using correlations?
volatility
correlation
basket
Bounded Stochastic discrete process
stochastic-processes
correlation
wienerprocess
Two correlated brownian motions
monte-carlo
correlation
brownian-motion
Deriving the single factor model
correlation
regression
factor-models
Alternative ways to understand time-varying comovement between two time-series?
time-series
correlation
cointegration
relationship
dependence
decompose correlation swap pnl
correlation
derivatives
swaps
market change, correlation and estimation bias
statistics
correlation
arbitrage
Why do volatility and correlation increase in times of crisis?
volatility
correlation
Estimate Beta of CAPM from Implied Volatility?
volatility
implied-volatility
correlation
beta
capm
What is the preferred GARCH method in practice?
correlation
garch
covariance
estimation
multivariate
How to create a basket of currency pairs with the lowest correlation in R?
r
fx
correlation
correlation-matrix
volume-returns cross correlation interpretation
time-series
correlation
auto-correlation
volume
lags
How to distinguish true negative eigenvalues from small negative eigenvalues due to floating point error?
correlation
portfolio
Why do CFDs track the underlying?
correlation
cfd
Why is credit exposure higher for a smaller probability of default than for a larger default?
risk
correlation
What do you do with low r-squared when calculating high-frequency beta
r
correlation
beta
capm
What is the correlation of stock options?
options
correlation
var
Good broad review of network modeling for quant finance?
correlation
multi-agent-simulations
When measuring autocorrelation should you use log returns or prices?
correlation
auto-correlation
log-returns
Correlation Between 2 Portfolios
portfolio-management
correlation
portfolio-optimization
correlation-matrix
covariance-matrix
Estimating correlation using EWMA
time-series
correlation
estimation
Interpretation of Correlation
time-series
correlation
bootstrap asset allocation
correlation
asset-allocation
asset
bootstrap
Right metric to manage a portfolio based on correlation?
correlation
portfolio
Is there a copula that can estimate negative tail dependence?
correlation
relationship
copula
dependence