search for: returnsall

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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]...