Rolling correlation / moving correlation
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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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Answers (1)
David J. Mack
on 21 Dec 2017
Hey Mate,
I have written a function in analogy to the MOVSUM function, which does exactly that:
Greetings, David
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