Calculate rolling correlation between two return series.
Usage
calc_rolling_correlation(returns, returns2, window = 20, min_periods = NULL)
Arguments
- returns
Numeric vector of returns
- returns2
Second numeric vector of returns
- window
Window size for rolling calculation
- min_periods
Minimum periods required for calculation (default: window)
Value
Numeric vector of rolling correlation values
Examples
if (FALSE) { # \dontrun{
returns1 <- rnorm(100, 0.001, 0.02)
returns2 <- rnorm(100, 0.0008, 0.015)
rolling_corr <- calc_rolling_correlation(returns1, returns2, window = 20)
} # }