pearson-correlation-approach

  1. A

    Chapter 8 - Statistical Correlation models

    Hi I had certain queries related to the following 1.Pearson's correlation with expected values Consider sample data set Probability Returns ( X) Returns (Y) O.1 15 % 8% 0.2 - 10 % -5 % 0.3 10 % 7% 0.4...
    • ag0511
    • Thread
    • kendall's-tau kendalls-tau pearson-correlation-approach pearsons-correlation spearman's-rank spearmans-rank
    • Replies: 4
    • Forum: P2.T5. Market Risk (25%)
  2. Nicole Seaman

    P2.T5.504. Rank correlations: Spearman's and Kendall's

    Learning outcomes: Evaluate the limitations of financial modeling with respect to the model itself, calibration of the model, and the model’s output. Assess the Pearson correlation approach, Spearman’s rank correlation, and Kendall’s τ, and evaluate their limitations and usefulness in finance...
    • Nicole Seaman
    • Thread
    • calibration financial-modeling kendall's-tau pearson-correlation-approach rank correlations spearman's-rank
    • Replies: 6
    • Forum: FRM® Practice Questions
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