Gunter Meissner, Chapter 2: Empirical Properties of Correlation: How Do Correlations Behave in the Real World?

is a 24-minute instructional video analyzing the following concepts:

* Describe how equity correlations and correlation volatilities behave throughout various economic states.

* Calculate a mean reversion rate using standard regression and calculate the corresponding autocorrelation.

* Identify the best-fit distribution for equity, bond, and default correlations.