- Joined
- 12/26/20
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- 11
Hey guys! I´m from Argentina and i´ve got a question about the adjustemnts in the covariances matrix for this methods.
¿What are the best approch to expressing the covariance matrix in basis points with high inflation economies? I mean, if i´ve got a yield series ¿can i only apply absolute changes for the returns? Or, ¿maybe, i have to took the log returns and then transform the covariance matrix in basis points?
Thank you so much!
Lautaro Pintos
¿What are the best approch to expressing the covariance matrix in basis points with high inflation economies? I mean, if i´ve got a yield series ¿can i only apply absolute changes for the returns? Or, ¿maybe, i have to took the log returns and then transform the covariance matrix in basis points?
Thank you so much!
Lautaro Pintos
