Distance Covariance Matrix

Compute the asset distance covariance matrix, from either:

• Asset returns
• Asset close-to-close prices, from which asset logarithmic returns are computed

References

• Szekely, G. J., Rizzo, M. L. and Bakirov, N. K. (2007). Measuring and testing independence by correlation of distances. Ann. Statist. 35 2769–2794
• Javier Pardo-Diaz, Lyuba V Bozhilova, Mariano Beguerisse-Díaz, Philip S Poole, Charlotte M Deane, Gesine Reinert, Robust gene coexpression networks using signed distance correlation, Bioinformatics, Volume 37, Issue 14, July 2021, Pages 1982–1989