This Chapter 12: Measuring Return, Volatility, and Correlation instructional video analyzes the following concepts:
Simple and continuously compounded returns
Volatility, variance rate, and implied rate
Insufficiency of 1sttwo moments to describe non-normal distributions
Jarque-Bera test for normally distributed returns
Power law and its use in non-normal distributions
Correlation, covariance, and dependence
Properties of correlation in a one-factor model
Measures of correlation used to assess dependence