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Cross-correlation of returns matrix

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Christos Chatzikomnitsas
回答： Rik 2021-1-21
Assume a returns table A(200 rows returns,30 cols stock names), trying to create a cross correlation matrix between each of the pairs of stocks.
Am I right trying to use xcorr function? Trying to do that in a for loop and also tried to xcorr with matrix name.
xcorr would take timeseries of A(,1) and create all cross correlations with rest of columns (in pairs), or am I wrong? I would expect the result would be D=cols+(cols-1)+..(cols-N), one cross-correlation for each unique pair. But thats not what I get from the below. Is my understanding wrong or my usage of function?
[r,lags]=xcorr(A)
or
for i=1:30
for j=1:30
D=xcorr(A(:,i),A(:,j))
end
end

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回答（1 个）

Rik
Rik 2021-1-21
I'm not sure the rest of your code is doing what you want, but at the very least you need to index D so you don't overwrite it every iteration.

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