Rolling correlation / moving correlation

2012 5 3
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更新时间：2017 12 21
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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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David J. Mack
David J. Mack 2017-12-21

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Hey Mate,
I have written a function in analogy to the MOVSUM function, which does exactly that:
MOVCORR
Greetings, David

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