Portfolio Management Software
This tutorial written and reproduced with permission from Peter Ponzo We’re talking about generating joint distributions for two variables, say x and y, with prescribed properties. Just two? Pay attention! Before we run, we walk. For example, we introduced the 1-parameter family of Frank’s Copulas: [F1] where (for […]
Overview Correlation analysis measures the relationship between two items, for example, a security’s price and an indicator. The resulting value (called the “correlation coefficient”) shows if changes in one item (i.e. an indicator) will result in changes in the other item (i.e. the security’s price). Interpretation When comparing the correlation […]