Todos os livros

Profissional

Apps Sobre Coach Entrar Começar a ler

Quantitative Finance · Glossário

O que é Realised correlation?

Definition 2.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Capítulo 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.

Ler no capítulo →