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Quantitative Finance · Begrippenlijst

Wat is Realised correlation?

Definition 2.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Hoofdstuk 2 — Dispersion and Correlation

Realised correlation is the average correlation among an index’s members computed from realised variances over a period with the same decomposition as implied correlation: the index’s realised variance against the members’ realised variances.

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