Instructional Video: Meissner, Chapter 2: Empirical Properties of Correlation

Gunter Meissner, Chapter 2: Empirical Properties of Correlation: How Do Correlations Behave in the Real World?
is a 24-minute instructional video analyzing the following concepts:

* Describe how equity correlations and correlation volatilities behave throughout various economic states. 
* Calculate a mean reversion rate using standard regression and calculate the corresponding autocorrelation.
* Identify the best-fit distribution for equity, bond, and default correlations.

Shop Courses