Rolling correlation / moving correlation

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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

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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

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