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12008
2011 Jul 07
0
Seasonal correlations
...nd years
2. By seasons only
A third problem is a standard correlation matrix of all series but the output is by season and year.
Typically the season is quarters. But it would be nice if the user could designate the endpoints of each season.
In output 1 below, the correlations for 1Q2008 are computed by just using the data that is within 2008-01-01 to 2008-03-31. In output 2, there are only four rows of outputs, one for each quarter.
In output 3, the function would subset each quarter of each year and then use a standard correlation.
The input
> head(ReturnsAll)[,1:4...