I'm looking at the bivariate relationships among a set of time-series data that have the same units. I have computed the covariance matrix and am working on interpreting it. My hunch is that it would make sense to take the square root of the off-diagonals, yielding a result in the same units as the data, just like converting variance to standard deviation (on the diagonal).
Does the square root of covariance have a name? And is this approach reasonable?
edit: I am interested in the correlations between pairs of channels and I am trying to get a metric in the most physically interpretable units.