correlation 与 covariance区别

foozhencheng 发表于 2015-6-21 00:33
呃。。。我不是金融方向的，只是最近比较感兴趣，于是来到这儿。所以一时半会儿想不到可以用什么金融的例 ...

经济数据里面貌似比较害怕自相关～～我指的是以计量的角度来处理经济数据和计量数据。如果出现自相关，我们得用各种方法来处理。这是时间序列的内容。 不过，也有些时序希望是自相关的，貌似涉及到AMAR、马尔可夫什么鬼

胡老 发表于 2016-11-9 00:05
经济数据里面貌似比较害怕自相关～～我指的是以计量的角度来处理经济数据和计量数据。如果出现自相关，我 ...

嗯，AMAR确实可以建模一类相关关系~

1. It's important to note that while the covariance does measure the directional relationship between two assets, it does not show the strength of the relationship between the two assets.The coefficient of correlation is a more appropriate indicator of this strength.
协方差测量两个资产的方向关系，如两者收益率是正方向还是反方向；不测量两个资产关系的强弱程度。相关性更偏向于一个强弱关系的指标。
2. Possessing financial assets with returns that have similar covariances does not provide very much diversification; therefore, a diversified portfolio would likely contain a mix of financial assets that have varying covariances.
其次有相似协方差得资产并没有很好的分散化。所以一个分散化好的资产组合应该有不同的协方差。