Covariance


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Related to Covariance: Covariance matrix

Covariance

A statistical measure of the degree to which random variables move together. A positive covariance implies that one variable is above (below) its mean value when the other variable is above (below) its mean value.

Covariance

The degree to which two variables are correlated. That is, covariance is the measure of how much two variables are related to one another. It is important in security analysis to determine how much or how little price movements in two companies or industries are connected.

covariance

A statistical measure of the extent to which two variables move together. Covariance is used by financial analysts to determine the degree to which return on two securities is related. In general, a high covariance indicates similar movements and lack of diversification. Compare variance. See also risk.
References in periodicals archive ?
Given the definition of correlation, the only other possibility is that covariance also fell (chart 5, bottom panel).
25) derived the covariance of two-sample mean, that is
11, it can be concluded that the model of invariant covariance matrices and mean vectors is not supported.
Two covariance, two cross-skewness and two cross-kurtosis restrictions are specified giving an exactly identified system of 14 equations and 14 parameters.
Given the expected excess rate of return vector R - r on n risky securities and the non-singular covariance matrix [OMEGA] between n risky securities rate of returns, the portfolio [omega] in Equation (1) is the unique risky optimal mean-variance efficient within the mean-variance framework if and only if [omega] = [[OMEGA].
The impact of inflation synchronization on the covariance terms is significant in all three cases; however, the signs of these effects vary.
The estimated value and the sign of covariance for maternal and direct additive genetic effects did not have any significant effects on the estimated maternal and direct heritability values.
In this piece, the main relationship that develops from the covariance causal relationship is the specific description.
According to rational asset pricing theory, the risk premium on an asset should be driven by the covariance of its returns with the marginal utility of consumption rather than by the variance of returns.
7 illustrate the covariance between market share and productivity by firm size and industry in Nigeria.
where: cov(X,Y) = the covariance between time series X and time series Y;
Cov(*) denote the mathematical expectation and covariance of the (*).