Rolling correlation / moving correlation

11 ビュー (過去 30 日間)
Mate 2u
Mate 2u 2012 年 5 月 3 日
回答済み: David J. Mack 2017 年 12 月 21 日
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

サインインしてこの質問に回答する。

回答 (1 件)

David J. Mack
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:
MOVCORR
Greetings, David

カテゴリ

Help Center および File Exchange で Correlation and Convolution についてさらに検索

タグ

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by