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Rolling correlation / moving correlation

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Mate 2u
Mate 2u on 3 May 2012
Answered: David J. Mack on 21 Dec 2017
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.

Answers (1)

David J. Mack
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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