He holds a BA in Written Arts from Bard College. Covariance is a statistical measure of the directional relationship between two asset returns. Investors can use this measurement to understand the ...

The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...

Calculating beta using the covariance/variance formula is probably the most common method of calculating the beta of a stock. This formula takes the covariance of the return of the market and the ...

where nused is the number of non-missing observations and np is the number of estimable parameters. The standard error reported for the parameters is the sqrt of the ...

Covariance is used in portfolio theory to determine what assets to include in the portfolio. Covariance is a statistical measure of the directional relationship between two asset prices.

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...

Covariance and contravariance are precise terms that describe which conversions are safe on parameters and return types. Learn practical definitions for those terms, what new constructs will be ...