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

Cleaning correlation matrices The determination of correlation matrices is typically affected by in-sample noise. Joël Bun, Jean-Philippe Bouchaud and Marc Potters propose a simple, yet optimal, ...

This example defines modules to compute correlation coefficients between numeric variables and standardized values for a set of data. /* Module to compute correlations */ ...

How to Calculate the Correlation Coefficient A simple calculation method is to use what's known as the Pearson correlation coefficient calculator, named after the English mathematician Karl Pearson.

The current state-of-the-art in estimating large correlation matrices focuses on the use of Pearson's sample correlation matrix. Although Pearson's sample correlation matrix enjoys various good ...

For example, a downward move of the S&P 500 leads to an increased average correlation between stocks. Here again, RMT provides powerful tools to describe the time evolution of the full covariance ...

Positive correlation is a relationship between two variables in which both variables move in tandem.

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 ...