Chapter 12: Measuring Return, Volatility, and Correlation Study Notes contains 14 pages covering the following learning objectives:
* Calculate, distinguish, and convert between simple and continuously compounded returns.
* Define and distinguish between volatility, variance rate, and implied volatility.
* Describe how the first two moments may be insufficient to describe non-normal distributions.
* Explain how the Jarque-Bera test is used to determine whether returns are normally distributed.
* Describe the power law and its use for non-normal distributions.
* Define correlation and covariance and differentiate between correlation and dependence.
* Describe properties of correlations between normally distributed variables when using a one-factor model.
After reviewing these notes on you will be able to apply what you learned with practice questions.
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