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Covariance matrix size in delta normal VaR

Thread starter #1
Hi,

I would like some advice on which size should be the covariance matrix which help to calculate the portfolio volatility in the delat normal VaR please.
In other words, what are the on which I should think about when choosing the period on which the covariance is calculated between all those assets.
Any contribution is appreciated.

Best,
delalma
 
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