getCor: EWMA Correlation
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description Usage Arguments Author(s) Examples

Extract the correlation of two assets from an mvEWMAcor object

1	getCor(EWMA, assets)

`EWMA`	an EWMA object created by `EWMA`
`assets`	character vector or numeric vector. The assets can be specified by name or index.

Ross Bennett and Thomas Fillebeen

data(crsp_weekly)
mvR <- largecap_weekly[,1:4]
lambda <- 0.94
initialWindow <- 150
cor_mv <- EWMA(mvR, lambda, initialWindow, type="correlation")
# Extract the estimated correlation between ORCL and MSFT
tail(getCor(cor_mv, assets=c("ORCL", "MSFT")))