[R] moving correlation coef ?

vincent
Thu, 30 Jun 2005 06:33:24 -0000

davidr at rhotrading.com a ??crit :

> One common weighting scheme is exponentially weighted, i.e., wt >
L^(0:m) ,
> where 0 < L <= 1 .
>
> David L. Reiner
>
> p.s.
> If your question is coming from a financial application, you might be
> interested in the R-sig-finance list, as well as reading the RiskMetrics
> (r)
> document "Return to RiskMetrics: The Evolution of a Standard", by
Jorge
> Mina and Jerry Yi Xiao (available at their site, after a free
> registration) where exponentially weighted moving statistics are
> discussed at length.

Thank you for the advice and for the link.
Vincent