Investopedia

Variance vs. Covariance: Key Differences in Statistics and Investing

Mary Hall is a editor for Investopedia's Advisor Insights, in addition to being the editor of several books and doctoral papers. Mary received her bachelor's in English from Kent State University with ...
JSTOR Daily

The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails

We consider a p-dimensional time series where the dimension p increases with the sample size n. The resulting data matrix X follows a stochastic volatility model: each entry consists of a positive ...
San Francisco Fed

Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework

We find that covariance matrix forecasts for an international interest rate portfolio generated by a model that incorporates interest-rate level volatility effects perform best with respect to ...
Insurancenewsnet.com

New Study Findings from University of Calgary Illuminate Research in Risk Management (Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi ...

2023 OCT 03 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News-- New research on risk management is the subject of a new report. According to news originating from Calgary, ...