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Covariance

• A statistical measure of the degree to which random variables move together.

 
 Embedded terms in definition
 Random variable
Random
 
 Referenced Terms
 Correlation coefficient: A standardized statistical measure of the dependence of two random variables, defined as the Covariance divided by the standard deviations of two variables.A measure of the degree of correlation or comovement between two series of numbers. The correlation coefficient can have a value from +1 (perfect positive correlation) to 1 (perfect negative correlation).

 Country beta: Covariance of a national economy's rate of return and the rate of return the world economy divided by the variance of the world economy.

 Portfolio variance: Weighted sum of the Covariance and variances of the assets in a portfolio.

 Serial covariance: The Covariance between a variable and the lagged value of the variable; the same as auto covariance.

 
 Related Terms
 Serial covariance

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