作者antimissle (心如止水 )
站內CFAiafeFSA
標題[問題] May I ask how to annualize correlation coefficient?
時間Mon Feb 15 11:09:54 2010
I only have monthly index data and wanna calculate annualized correlation
coefficient. Can I simply annualize the monthly return and calculate it
according to the annualized data? Thank you very much in advance for your
kind help!
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※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 128.42.157.41
→ commiserate:I guess your question is to annualize sigma 02/15 19:46
→ commiserate:just multiply sigma by 12^0.5 02/15 19:48
推 slowtakumi:yes, that's the way to calculate it but might 02/17 18:02
→ slowtakumi:under/overstate the correlation. 02/17 18:03