Help needed: Currency Correlation Matrix

[nodes]

Hello all,
Does someone know where I can find a Currency Correlation Matrix (ie excel)? I have no time to create one now, so maybe someone…
Thank you

 

[Muddahudda]

Use data analysis add in.

 

[ohai]

If you have Bloomberg, use CORREL .

 

[bchadwick]

I found this one lying around. Maybe it will fit.
1 .8 .9
.8 1 .6
.9 .6 1

 

[Muddahudda]

^ ha ha

 

[justin88]

No no no. The main diagonal should be all zeroes at the very least.

 

[DarienHacker]

justin88 Wrote:
——————————————————-
> No no no. The main diagonal should be all zeroes
> at the very least.
FAIL.
All values should be 1:
http://ftalphaville.ft.com/blog/2010/07/28/299871/lost-in-correlation-fa...

 

[maratikus]

bchadwick Wrote:
——————————————————-
> I found this one lying around. Maybe it will
> fit.
>
> 1 .8 .9
> .8 1 .6
> .9 .6 1
It is a correlation matrix indeed. Diag elements are ones, the matrix is symmetric and all eigenvalues are positive (2.5398, .4081 and .0521). I guess it might fit.

 

[jmh530]

Maratikus, you does not seem to delight in bchadwick’s sense of humor.

 

[justin88]

jmh530 Wrote:
——————————————————-
> Maratikus, you does not seem to delight in
> bchadwick’s sense of humor.
This whole thread was lacking in delight.