Instructional Video 2 of 2: Measuring Return, Volatility, and Correlation

Hull, Chapter 11: Correlation and Copulas is a 26 minute instructional video analyzing the following concepts:

* Define correlation and covariance, and differentiate between correlation and dependence.
* Calculate covariance based using the EWMA and GARCH (1,1) models.
* Apply the consistency condition to covariance.
* Describe the procedure of generating samples from a bivariate normal distribution.
* Describe the properties of correlations between normally distributed variables when using a one-factor model.
* Define copula, describe the key properties of copula and copula correlation.
* Explain one tail dependence.
* Describe Gaussian copula, Student t-copula, multivariate copula and one factor copula.

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