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Homeen-gbConverting a covariance matrix from local currencies to a common currencyThe authors put forward a simple means to translate a covariance matrix estimated in local currencies into a covariance matrix expressed in a common currency.
https://www.risk.net/journal-of-risk/7960026/converting-a-covariance-matrix-from-local-currencies-to-a-common-currency
https://www.risk.net/journal-of-risk/7960026/converting-a-covariance-matrix-from-local-currencies-to-a-common-currency
Mon, 30 Sep 2024 14:08:19 +0100