Covariance

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Related to covariances: correlation

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 ?
All computations with the covariances can be carried out efficiently using the implicit low-storage representation without forming the full matrices.
Cutoff criteria for fit indexes in covariance structure analysis: Conventional criteria versus new alternatives.
For example, as head and spouse earnings volatilities were peaking in the 2000-2001 period, the negative covariances of head wages with taxes (the series represented by the "cross"), coupled with the negative covariance of spouse wages with taxes (the "plus" series), attenuated substantially the growth in total volatility.
sd,sd] = 4x4 matrix of variances and covariances among 1/2 additive direct genetic boar effects for trait 1, 1/2 additive direct genetic boar effects for trait 2, 1/2 additive direct+maternal sow genetic effects for trait 1, and 1/2 additive direct+maternal sow genetic effects for trait 2.
The future work on the macroeconomic approach to FX debt management should focus on incorporating the role of covariances between the government primary balance and exchange rates from the flow perspective.
16, the transverse covariances of real fibres and simulated cylinders (in the Oz direction) are almost superimposed.
According to this formula, the risk premium on any asset is a weighted average of two conditional covariances, the consumption covariance [[sigma].
where: cov(X,Y) = the covariance between time series X and time series Y;
Cov(*) denote the mathematical expectation and covariance of the (*).
Chan, Order Statistics From Extreme Value Distribution, I: Tables of Means, Variances, and Covariances, Communications in Statistics--Simulation and Computation 21, 1199-1217 (1992).
Equation (5) indicates that stock market return is predictable because its covariances with state variables--for example, stock market volatility, [[epsilon].
Although the causes remain uncertain, the fall in the standard deviations and covariances of growth rates complicates the task of detecting other influences on correlation.