FW: [R-sig-finance] correlation between two stock market indices

[Gabor Grothendieck]

> There isn't yet an abstract engine doing rolling window estimation
> in R, where you get to define the estimator (e.g. as is the case
> with 'by' where you get to specify FUN).

Note that the following do exist:
- running in package gregmisc
- rollFun, rollMean, rollVar, rollMin, rollMax in package fSeries
  See  http://www.itp.phys.ethz.ch/econophysics/R/pdf/DocRefcard.pdf
  for overview of related functions.
- embed 
- filter