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Calendar Correlations
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Classroom Contents
Brooklyn Quant Experience - In Pursuit of Samuelson: Studies of Commodity Volatilities and Correlations
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- 1 Introduction
- 2 Overview
- 3 My collaborators
- 4 Samuelson Effect
- 5 Samuelson Parameterization
- 6 Data for Samuelson Calibration
- 7 Measuring Samuelson strength
- 8 Seasonal Commodities
- 9 Relationship between Black and Bachelier Samuelson
- 10 Summary of results
- 11 Calendar Correlations
- 12 Properties of realized correlations
- 13 Dynamics of Instantaneous Correlation
- 14 Models of growth and decay
- 15 Modeling the first column
- 16 Results of the calibration
