Variance-Covariance Matrix / Pearson Correlation Coefficient Matrix in VBA
Building a Variance-Covariance Matrix and a Pearson Correlation Coefficient Matrix in VBA
Building a Variance-Covariance / Pearson Correlation Coefficient matrix in Excel can be cumbersome using formulas, the purpose of this model is to produce those matrices
Users having Bloomberg can easely update time-series by specifying the ticker, other data sources can obviously be used by overriding series; as long as the format is respected ;
Please read the methodology in the spreadsheet before running the tool.
Pearson Correlation Matrix.xlsm.zip
Compressed Archive in ZIP Format
Scroll to top