The asset correlation matrix proves that Treasuries are great diversifiers. It shows the correlation coefficient between Treasuries, developed markets, and emerging market stocks.

Random matrix theory provides a clue to correlation dynamics A growing field of mathematical research could help us understand correlation fluctuations, says quant expert ...

Explore 15 spurious stock correlations that challenge conventional wisdom in finance and investing.

Under the high-dimensional setting that the data dimension and sample size tend to infinity proportionally, we derive the limiting spectral distribution and establish the central limit theorem of the ...

Any correlation matrix can be decomposed into characteristic entities called Eigen values and Eigen vectors. Assuming one wouldn't know the direction of the true Eigen vectors – that is, by keeping ...

If you specify the working correlation as R0 = I, which is the identity matrix, the GEE reduces to the independence estimating equation. Following are the structures of the working correlation ...

William N. Goetzmann, Lingfeng Li, K. Geert Rouwenhorst, Long‐Term Global Market Correlations, The Journal of Business, Vol. 78, No. 1 (January 2005), pp. 1-38 ...