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by bariaji
September 11th, 2018, 12:45 pm
Forum: Trading Forum
Topic: Correlation & Volatility - what returns period to use ?
Replies: 4
Views: 176

Correlation & Volatility - what returns period to use ?

Hi,  I am trying to calculate the correlation between two indexes using closing prices that have significant time zone difference. Say, S&P 500 and Nikkei . For calculation of correlation over a rolling 3 month period is it prudent to use daily returns or are weekly returns better to allow time ...