Common Volatility and Correlation Clustering in Asset Returns

Mathematics

• Conditionals 100%
• correlation coefficient ρ 50%
• Positive Definite 50%
• Cosine 50%
• Covariance Matrix 50%
• Stylized Fact 50%
• Conditional Variance 50%
• Autoregressive Model 50%
• Autocorrelation 50%
• Spherical Coordinate 50%
• Clustering 50%
• Covariance 50%
• Cholesky's Decomposition 50%

Economics, Econometrics and Finance

• Volatility 100%
• Capital Market Returns 100%
• Operations Research 20%
• Government Securities 20%