roll_cor: Calculate & Plot Rolling Correlation for two assets.

In hyunyulhenry/HenryQuant: Favorite R Functions for Henry's Quantopia <http://henryquant.blogspot.kr/>

Description

This function will caculate and plot rolling correlation between return of two assets.

Usage

roll_cor(Ra, Rb, width)

Arguments

Ra	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
width	number of periods to apply rolling function window over

Details

This Package is based on PerformanceAnalytics

Examples

  ret = asset_data[,c(1,5)]
  roll_cor(ret[,1], ret[,2], width = 360)

hyunyulhenry/HenryQuant documentation built on Nov. 15, 2019, 2:28 a.m.