covariance和correlation的区别,在金融里的意义是什么

题目

covariance和correlation的区别,在金融里的意义是什么
I wonder what is the effect of a covariance's value?Or we figured the value of covariance in order to know whether it is positive or negative only?Unlike the correlation,the value tells us how similar the change between two variables.

答案

我不知道你想问什么.问题太大.给你举些COV和COR的应用吧- -比如时间序列里（比如高频或者超频时间序列在金融里应用蛮广的）,COR的pattern可以反映序列的模型.而在financial econometrics里面基本分析都是针对VAR-COV...