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What does the correlation matrix of correlation matrix represent? Is it second order correlation?

x = cor(z)
y = cor(x)

Does y second order correlation of z?

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You're looking for stochastic volatility models, which are popular in finance and energy risk.

In these models the volatility (variance) itself is the random variable, just like others. As such it has all the properties: covariance, autocorrelations etc.

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