Description Usage Arguments Author(s) See Also Examples
This function calculates the correlation estimate between the returns of a pair of assets over a rolling window.
1 |
R |
xts or zoo object of asset returns |
width |
width of rolling window |
Ross Bennett
1 2 3 | data(crsp_weekly)
R <- largecap_weekly[,1:4]
tail(rollCor(R, 10))
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