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Rolling Correlations with Multiple Data Points per Month

1 message · kobysf

#
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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