Rolling correlation / moving correlation
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Mate 2u am 3 Mai 2012
Beantwortet: David J. Mack am 21 Dez. 2017
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.
David J. Mack am 21 Dez. 2017
I have written a function in analogy to the MOVSUM function, which does exactly that:
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