Coudert, Virginie (contributor); Gex, Mathieu (contributor) - 2008
given in Appendix E). All of the
volatility and correlation calculations are therefore based on the transformed
i
t
x …. The resulting
i
t
x series are
stationary and comparable to financial asset returns. This is the method used by … assets are linked.
The return on asset 1,
t
x , is subjected to random shocks
t
ε ; the return on asset 2,
t
y , to …