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Rolling correlation / moving correlation
Latest activity Answered by David J. Mack
on 21 Dec 2017
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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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- 3 questions asked
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Answer by David J. Mack
on 21 Dec 2017
- 3 questions asked
- 30 answers
- 10 accepted answers
- reputation: 58
Hey Mate,
I have written a function in analogy to the MOVSUM function, which does exactly that:
Greetings, David
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