Kendall Correlation Matrix

Compute the Kendall asset correlation matrix, from either:

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

References

• Wikipedia, Kendall rank correlation coefficient

• Kendall, M. G. (1938). A New Measure of Rank Correlation. Biometrika, 30(1/2), 81–93

• Maurice G. Kendall, The treatment of ties in ranking problems, Biometrika Vol. 33, No. 3, pp. 239-251. 1945