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Covariance and correlation / Correlation and dependence / Cholesky decomposition / Multivariate normal distribution / Covariance / Eigenvalues and eigenvectors / Matrix / Bootstrapping / Pearson product-moment correlation coefficient / Partial correlation


Measuring correlation risk Roza Galeeva, Jiri Hoogland, Alexander Eydeland CMG, Morgan Stanley January 11, 2007 Contents
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Document Date: 2007-03-27 13:47:21

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