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Tag Archives: positive definite
Correlations and postive-definiteness
On the way to another destination, I found some curious behavior with average correlations. The data Daily log returns from almost all of the constituents of the S&P 500 for years 2006 through 2011. The behavior Figure 1 shows the actual mean correlation among stocks for the set of years and the mean correlation with … Continue reading
Posted in Quant finance, R language
Tagged BurStFin, Ledoit-Wolf shrinkage, positive definite, variance estimation
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