How do you find correlation coefficients in Excel?

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2 total messages Started by jaewon kwak Sat, 21 Nov 1992 22:10

#283

Author: jaewon kwak
Date: Sat, 21 Nov 1992 22:10

15 lines
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Well, the question is in the subject.  How DO you find
the correlation coefficient of data points in excel or
is the spreadsheet's statistical capabilities limited
to just standard deviation and mean?  

Also, is there a way to find roe?  Roe is the covariance
divided by the product of the standard deviations (I think).

These statistical functions are needed to correlate
the returns for a serious of data points collected from
the Wall St. Journal.

Thank you in advance for any help you can give me.

Jae

Re: How do you find correlation coefficients in Excel?

#287

Author: Robert McDonald
Date: Mon, 23 Nov 1992 15:01

36 lines
1864 bytes

In article <102789@bu.edu> danger@acs.bu.edu (jaewon kwak) writes:
>From: danger@acs.bu.edu (jaewon kwak)
>Subject: How do you find correlation coefficients in Excel?
>Keywords: Excel
>Date: 21 Nov 92 22:10:15 GMT
>Well, the question is in the subject.  How DO you find
>the correlation coefficient of data points in excel or
>is the spreadsheet's statistical capabilities limited
>to just standard deviation and mean?  
>
>Also, is there a way to find roe?  Roe is the covariance
>divided by the product of the standard deviations (I think).
>
>These statistical functions are needed to correlate
>the returns for a serious of data points collected from
>the Wall St. Journal.
>
>Thank you in advance for any help you can give me.
>
>Jae
>

Check the documentation for the CORREL function; it gives you the 
correlation coefficient of two vectors.  Also Excel computes 
covariance (COVAR).  You are correct that the correlation between two series 
is defined as their covariance divided by the product of their standard 
deviations.

-- Bob

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Fin. Dept., Kellogg School, Northwestern Univ.  
2001 Sheridan Rd., Evanston, IL 60208-2006   
voice: 708-491-8344 / Fax 708-491-5719    
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