R/squarecor.R
In Rsafd: Statistical Analysis of Financial Data in R

`squarecor` <-
function(X)
{
    LX <- log(X)
    TST <-  seriesMerge(der(LX,5),der(LX,-5),der(LX,-15),der(LX,-60))
    cor(TST*TST)
}

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Rsafd documentation built on May 2, 2019, 5:20 p.m.

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