corrRollMatrixCpp: corrRollMatrixCpp
In 3schwartz/SpecialeScrAndFun: Script and functions used for master thesis.
Description
Calculate rolling correlation between each column in input matrix
Usage
1
corrRollMatrixCpp(X, period)
Arguments
X
a matrix of which one want to calculate correlation of between each asset
period
number one want to use when taking rolling correlation
3schwartz/SpecialeScrAndFun documentation built on May 4, 2019, 6:29 a.m.
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Description
Calculate rolling correlation between each column in input matrix
Usage
1 | corrRollMatrixCpp(X, period)
|
Arguments
X |
a matrix of which one want to calculate correlation of between each asset |
period |
number one want to use when taking rolling correlation |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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