Annualising Volatility (Covariance, Correlation etc)
Hi everyone,
I understand that to annualise the std deviation from monthly frequency to yearly would be: Annualised. std dev = sqrt (12) * monthly std deviation
How does one annualise for covariance and correlation though?
Is the following correct:
1) Annualised covariance = 12 * covariance
2) Annualised correlation = monthly correlation
Thanks in advance
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