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Fixed income methodoloy

Pintos Lautaro

Pintos Lautaro

Joined
12/26/20
Messages
2
Points
11
Hey guys! I´m from Argentina and i´ve got a question about the adjustemnts in the covariances matrix for this methods.

¿What are the best approch to expressing the covariance matrix in basis points with high inflation economies? I mean, if i´ve got a yield series ¿can i only apply absolute changes for the returns? Or, ¿maybe, i have to took the log returns and then transform the covariance matrix in basis points?

Thank you so much!

Lautaro Pintos
 
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