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Rolling correlation / moving correlation

Asked by Mate 2u on 3 May 2012
Latest activity Answered by 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.
Thanks

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1 Answer

Answer by 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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