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Is it correct to say that the existence of a cointegration of the two series is equivalent to a high correlation of their values?
Is it correct to say that the presence of a cointegration of the two series is equivalent to a high correlation of their values?
More like incremental correlations.
Correlation and selective correlation are very different things. For example, correlation may well be nonexistent, while sample correlation can be calculated for almost any sample.
The problem is a total misunderstanding of the simple fact that sample correlation is not the definition of correlation (but only an estimate of it, not always accurate).
And what does understanding this fact give us?
It's just that many people forget that estimating a correlation doesn't mean having one at all.
2a identical processes can have a correlation of zero over the lifetime of the processes. And this should always be taken into account.
Two identical processes can have a correlation of zero over the lifetime of the processes. And this must always be taken into account.
And how is that?
Many people simply forget that estimating correlation does not mean that there is correlation at all.
Two identical processes can have a correlation of zero over the lifetime of the processes. And this must always be taken into account.
How's that?
It is an exceptionally rare case where the correlation between two assets is constant (and equal to zero, for example).
There is no such thing at all.
Sine and cosine)
No.
There are sections with positive and negative correlations.