covariance investment & finance definition
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A statistical tool that measures the likelihood of two random variables moving together.
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.
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Covariance
A measure of the degree to which returns on two risky assets move in tandem. A positive covariance means that asset returns move together. A negative covariance means returns move inversely.
Covariance A measure of co-movement between two variables.
Covenants See Bond Covenants
CP See commercial paper ...
Covariance A measure of the degree to which two securities move together. Used by financial analysts to determine the degree to which returns on two securities are related.
Covariance
Multiplies the deviation of each variable from its mean, adds those products and then divides by the number of observations.
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.
Covariance measures the degree to which two variables move together over time relative to their individual mean returns. It is calculated by multiplying the correlation between two variables by the standard deviation for each of the variables.
covariance: 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).
Beta = Covariance (stock versus market returns) / Variance of the Stock Market ...
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.
Variance-covariance VaR/VCV VaR: This methodology or approach involves using observed price volatilities and correlations of price movements across a historical period to derive the market risk inherent in a portfolio.
Assuming that the covariance is less than one (invariably true), this will be less than the weighted average of the standard deviation of the expected returns of the securities. This is why diversification reduces risk.
Covariance: A measure of the relation between two variables.
The correlation coefficient is equal to the covariance of x and y divided by the product of the standard deviation of x and the standard deviation of y.
Magic of diversification The effective reductions or risk (variance) of a portfolio, achieved without reduction to expected returns through the combination of assets with low or negative correlations (covariances).
Since heteroskedasticity in the residuals of an otherwise properly specified linear model leads to inconsistent covariance matrix estimates, and thus faulty statistical inference (White, 1980), ...
A factor-based model of yield curve movements is calculated by deriving the covariance matrix of yield shifts at predefined maturities, and calculating the eigenvectors and eigenvalues of this matrix.
Homogeneous expectations assumptionAn 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.
This usage can be confusing, however, because it can be estimated either parametrically (for examples, variance-covariance VaR or delta-gamma VaR) or nonparametrically (for examples, historical simulation VaR or resampled VaR).
Moving Averages of the High and Low
Moving Correlation Coefficient
Moving Covariance
Moving Dispersion
Moving Regression Line
Moving Standard Deviation
Moving Standard Error
Moving Summation ...
The effective reductions or 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 ...
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: Market, Trading, Return, Performance, Investment
  
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