How to Calculate the Correlation Coefficient A simple calculation method is to use what's known as the Pearson correlation coefficient calculator, named after the English mathematician Karl Pearson.

We introduce a novel parametrization of the correlation matrix. The reparametrization facilitates modeling of correlation and covariance matrices by an unrestricted vector, where positive definiteness ...

For example, a downward move of the S&P 500 leads to an increased average correlation between stocks. Here again, RMT provides powerful tools to describe the time evolution of the full covariance ...

We introduce the matrix multivariate auto-distance covariance and correlation functions for time series, discuss their interpretation and develop consistent estimators for practical implementation.