Correlation

[mr.interested]

Hello,

I'm trying to compute a correlation matrix for a number of series, and then take, say, 100 at least correlated series. Is there any way to achieve this? In other words, how can I take names of those 100 series which are at least correlated among the entire sample?

Best

[EViews Gareth]

what does "and then take, say, 100 at least correlated series" mean?

[mr.interested]

what does "and then take, say, 100 at least correlated series" mean?

OK, so let's say I have 10,000 series + 1 index, and I want to create a portfolio of 100 series which have the lowest correlation with the index. As I understand, I would have to create a correlation matrix, and then take names of 100 series that have the lowest correlation with the index. How can I do that?

[EViews Gareth]

I think I would loop through them calculating the covariance once at a time, recording the covariances in to a column of a matrix. Then you could sort the matrix and take the top (or bottom) 100.

[mr.interested]

I think I would loop through them calculating the covariance once at a time, recording the covariances in to a column of a matrix. Then you could sort the matrix and take the top (or bottom) 100.

Thank you Gareth.