Simple correlation Question

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Hi there. Here is my question.
Q) I have two time series of financial data. A = 1000 x 1 B = 1000 x 1
Now I want to find out the correlation of these at different frequencies.
So I want to test if A and all its lages is correlated with B and all its lags.
So I want to know for instance if the 5 minute price of A is correlated to the 2 minute price of B and etc etc....
I look forward to hearing a reply from you.

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Wayne King
Wayne King 2012-3-29
xcorr()
crosscorr()
Be careful with the word "frequency", there is a frequency domain correlation called coherence, but what you are after sounds like xcorr() or crosscorr()
For example:
x = randn(1e3,1);
y = randn(1e3,1);
[xc,lags] = xcorr(y,x,'coeff');

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