correlation

player · October 22nd, 2003, 7:37 am

Many papers try to look at correlation from a static viewpoint but i was wondering if anyone know of any papers looknig at correlation from a dynamic viewpoint. Using google I managed to find only one?

robertral · October 22nd, 2003, 8:20 am

Stochastic correlation: try searing for stoch calc on a manifoldAlso take a look at http://www.wilmott.com/messageview.cfm? ... TABLE=Hope this helps youPaul

richg · October 22nd, 2003, 9:56 am

If I understand your question correctly then a place to look would be Rob Engle's recent work on Dynamic Conditional Correlation.richg.