Displaying 1 result from an estimated 1 matches for "returnsall".
2011 Jul 07
0
Seasonal correlations
...tions 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]
Dates Series1 Series2 Series3
1 2008-01-03 -0.002 -0.002 -0.002
2 2008-01-04 -0.008 -0.009 -0.009
3 2008-01-07 -0.025 -0.024 -0.024
4 2008-01-08 0.012 0.012 0.012
5 2008-01-09 -0.012 -0.014 -0.015
6 2008-01-10 -0.023 -0.022 -0.021
> tail(ReturnsAll)[,1:4]...