Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross products of the data. A ...

Leslie Kramer is a writer for Institutional Investor, correspondent for CNBC, journalist for Investopedia, and managing editor for Markets Group. Correlation measures the linear relationship between ...

Journal of the Royal Statistical Society. Series D (The Statistician), Vol. 50, No. 1 (2001), pp. 87-95 (9 pages) In a regression setting, the partial correlation coefficient is often used as a ...