define correlation - EAS
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V-Lab: Correlation Analysis Documentation
https://vlab.stern.nyu.edu/docs/correlationThen, we can define a vector of zero-mean white noises ε t = rt − μ, where rt is the n × 1 vector of returns and μ is the vector of expected returns. Despite being serially uncorrelated, the returns may present contemporaneous correlation. That is: ∑ t = Ε t-1 [(r t-μ) (r t-μ) ′] may not be a diagonal matrix. Moreover, this ...
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