Correlation of stocks

[Lun]

Where can I find these figures ?

Is it sth computed by a program written by me and using closed prices from Yahoo Finance ?

Can I get it from RiskMetrics ? If I can, is it free ?

Thanks

 

[alain]

you need to explain yourself a little better but if you are talking about correlation among different pairs of stock in the statistical sense, you can calculate it yourself.

 

[Lun]

Oop......

Thanks for your reply. I want to calculate VaR, so need the correlation, that's why I want to know what/where is reliable.

 

[alain]

nothing is going to be more reliable that you doing it... unless you want to "trust" somebody else.

 

[Lun]

OK, thank you very much !!

 

[Eugene Krel]

I usually use 0.42 for my correlation purposes.

 

[joel_b]

use 0.6 for everything..worked for CDOs!!

 

[alain]

you mean 0.4, right?

 

[Eugene Krel]

no, I take the meaning of everything and divide by 100

 

[joel_b]

the correlation between what I read and how I remember it is about -0.33, hahahahahaha, yet highly cointegrated. I am a stationary process with a exepected value of fact.