Value-at-Risk Theory and Practice
The first advanced book on value-at-risk
Chapter 3, Page 123 Exercise 19
Which of the following covariance matrices are singular? Which are multicollinear?
Solution
a. The correlation matrix has determinant = 0.00000, so it is singular.
b. The correlation matrix has determinant = 0.00079, so it is multicollinear.
c. The correlation matrix has determinant = 0.65230, so it is neither singular nor multicollinear.
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are singular? Which are multicollinear?
=
0.00000, so it is singular. 