[R] Rolling Correlations with Multiple Data Points per Month
kobysf
skobayashi at dci.com
Mon Sep 24 17:20:34 CEST 2012
I have a table with approximately 1000 actual stock returns and forecasted
stock returns per month. I want to calculate rolling correlations for
rolling 12-month periods. All of the rolling correlation solutions I've
seen are for cases where there is just one row per time period. How can I
do this for multiple data pairs per month?
Also, I'm very new to R so please bear with me.
Thanks in advance for any help.
- Susan
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