Covariance

Covariance
A measure of the degree to which returns on two assets move in
tandem. A positive covariance means that asset returns move together; a
negative covariance means they vary inversely.

Covariance
A statistical measure of correlation of the fluctuations of two different quantities.

Covariance
A measure of the degree to which two variables move together. A positive value means that on average, they move in the same direction.

covariance matrix
Covariance and correlation are related parameters that indicate the extent to which two random variables co-vary. Suppose there are two technology stocks.

covariance
statistical term for the correlation between two variables multiplied by the standard deviation for each of the variables.

The covariance between a variable and the lagged value of the variable. In econometrics referred to as autocovariance. ...

Serial covariance
Definition: [crh] The covariance between a variable and the lagged value of the variable; the same as Definition: orrelation"autocorrelation.

Covariance
The covariance of two variables (numbers measuring something) is a measure of the relationship between them. It closely related to the correlation and calculated as an intermediate step in calculating the correlation.

Covariance
A numerical measure of linear association between two variables. Positive values indicate a positive relationship, and negative values indicate a negative relationship.
Cumulative Frequency Distribution ...

Covariance
A measure of how two random variables behave in relation to each other.

Covariance: This is a measure that reflects both the variance (volatility) of a stock's returns and the tendency of those returns to move up or down at the same time relative to other stocks (their correlation).

COVARIANCE:  An absolute measure of the extent to which two variables tend to covary, or move together.

Covariance
A statistical measure of the degree to which random variables move together. A positive covariance implies that one variable is above (below) its mean value when the other variable is above (below) its mean value.
Covenants ...

Covariance A measure of co-movement between two variables.
Covenants Provisions in the legal agreements on loans, bonds, or lines of credit. Usually written by the lender to protect its position as a creditor of the borrowers.

Covariance
A measure of the degree to which two variables move in relation to each other. A positive covariance means that both variables tend to be above or below their mean at the same time.

covariance stationary: A stochastic process is covariance stationary if neither its mean nor its autocovariances depend on the time or spatial index.

Covariance
Calculations
Covariance measures the relationship between two random variables. For example, we might measure whether a sample population liked drinking wine, and whether they liked eating cheese.

covariance
A measurement of the relationship between two variables. The arithmetic mean of the products of the deviations of corresponding values of two quantitative variables from their respective means.
covariant ...

Covariance of a national economy's rate of return and the rate of return of the world economy divided by the variance of the world economy.
Country economic risk ...

Σ is the covariance matrix for the returns on the assets in the portfolio; ...

Serial covariance The covariance between a variable and the lagged value of the variable; the same as autocorrelation. Serial entrepreneur Business person that successfully starts (does not kill) a number of different businesses.

Here Cov is the covariance, which is zero for independent random variables (if it exists). The formula states that the variance of a sum is equal to the sum of all elements in the covariance matrix of the components.

Magic of diversification The effective reduction of risk (variance) of a portfolio, achieved without reduction to expected returns through the combination of assets with low or negative correlations (covariances).

Serial covariance The covariance between a variable and the lagged value of the variable; the same as auto covariance. Series Options: All option contracts of the same class that also have the same unit of trade, expiration date, and exercise price.

Covariance Correlation between two securities multiplied by the standard deviation for each. Credit rating A grading of a borrower's ability to meet financial obligations in a timely manner.

Correlation coefficient A standardized statistical measure of the dependence of two random variables, defined as the covariance divided by the standard deviations of two variables.

(3) Statistically, beta is the measure of systematic risk in the CAPM and is the ratio of two covariances: the individual security divided by a proxy for the market as a whole or the so-called market portfolio.

Its calculation is the same as that of the covariance, being the covariance of the variable with itself.
Variety ...

By using the different intensity of stock return covariance with the standard consumption function, it is possible to theoretically define these differences.

The most common correlation coefficient is the Pearson product-moment correlation, defined as the covariance of the two variables divided by the product of their standard deviations. The Pearson correlation coefficient is always between -1 and 1.

Where Ri is the return on the ith security, ßi is the covariance of the ith security's returns with the market returns over the variance of the market returns and Rm is the market return and Rf is the risk free rate.

NYSE Beta Index - The covariance of the stock in relation to the rest of the stocks listed on the NYSE. The Standard & Poor's stock index has a beta coefficient of 1.

Cross covariance
Cross Creek
Cross Creek Boulevard
Cross Creek Country Club
Cross Creek Mall
Cross Creek Railroad
Cross Creek Township, PA
Cross Creek Township, Pennsylvania
Cross Creeks National Wildlife Refuge ...

A standardized statistical measure of the dependence of two random variables, defined as the covariance divided by the standard deviations of two variables.
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Personal Finance Glossary ...

Coefficient measuring a stock's relative volatility. The beta is the covariance of a stock in relation to the rest of the stock market.
Beta ...

Portfolio variance
Weighted sum of the covariance and variances of the assets in a portfolio.

The process of selecting an investment portfolio that minimises risk for a given level of return, taking account of a) expected return; b) variances of expected return; and c) covariance of return with every other security under consideration.

The effective reduction of risk (variance) of a portfolio, achieved without reduction to expected returns through the combination of assets with low or negative correlations (covariances). Related: Markowitz diversification ...

Homogeneous expectations assumption
An assumption of Markowitz portfolio construction that investors have the same expectations with respect to the inputs that are used to derive efficient portfolios: asset returns, variances, and covariances.

by one, such that the intercept captures the firm-specific risk premium (rp) and the slope coefficient captures the firm-specific, long-term growth in abnormal earnings (g). They extracted the risk-free rate from FEP to account for the covariance in ...

Covariance [r]: A statistical parameter that indicates whether two random variables show a related linear trend. [e]
Credit crunch [r]: the failure of the banking system to satisfy the economy's need for credit. [e] ...

covariance In statistics, the correlation between two variables times the standard deviation of each. covenant A clause in a contract that requires one party to do, or refrain from doing,... cover To repurchase a previously sold contract.

See also: Expected return, Values, Banks, Systematic risk, Expense