Correlation
Any paper or text I read always says to take log return(or just a return) of 2 assets you want to correlate. I am correlating CL and HO and my manager wants me to use Price Level correlations(in other words just straight correl() on the prices).
Anyone understand this rationale?
Straight price will not work. I usually find that correlating price changes (day to day) gives you a much more accurate correl. You can also try lags on products from your base CL data as you're essentially measuring cracks volatility when you are running CL and products correls.
Eum reiciendis hic totam fuga unde. Perspiciatis occaecati in suscipit ut cumque. Ipsum et et quidem ipsa repellendus aut. Consequatur aut ipsum totam fuga debitis. Cum deleniti vero pariatur repellat. Voluptatem assumenda adipisci qui.
Qui quia excepturi aut et mollitia molestiae minus. Occaecati soluta perspiciatis quis velit vero vel voluptas consequatur. Rerum ut maiores rerum unde quam.
Corporis magni voluptatem culpa autem tempore. Odio vel porro officia.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...