Rolling correlation / moving correlation
27 ビュー (過去 30 日間)
古いコメントを表示
Hi there, Does anybody have a small function to compute the rolling correlation of 2 financial time series. It would probably need to be big due to the size of the data.
Thanks
0 件のコメント
回答 (1 件)
David J. Mack
2017 年 12 月 21 日
Hey Mate,
I have written a function in analogy to the MOVSUM function, which does exactly that:
Greetings, David
0 件のコメント
参考
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!