Are the correlations of multivariate stock prices preserved when converted to multivariate returns?

Quantitative Finance Asked by develarist on November 28, 2020

If data for multiple stock prices has a specific correlation matrix, is the correlation matrix preserved when those prices are converted to multivariate log-differenced returns?

Add your own answers!

Ask a Question

Get help from others!

© 2024 All rights reserved. Sites we Love: PCI Database, UKBizDB, Menu Kuliner, Sharing RPP