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99_99_
Calcite | Level 5 99_99_
Calcite | Level 5

How to compute the average cross-sectional correlation?

Posted 10-12-2013 05:56 AM (1127 views)

Does anyone know how to calculate the average cross-sectional correlation?

I have time series for 2000 stocks.

I wonder, how can I calculate the average correlation of stock returns for the 2000 stocks?

Could anyone provide some insights?

Thank you a lot!

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99_99_
Calcite | Level 5 99_99_
Calcite | Level 5

Re: How to compute the average cross-sectional correlation?

Posted 10-12-2013 04:29 PM (984 views)  |   In reply to 99_99_

The question is updated.

Thank you!

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