Variance-Covariance Matrix / 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 via VBA ;
- Users having Bloomberg can easily 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.
