Re: [R] moving correlation coef ?

From: vincent <vincent_at_7d4.com>
Date: Thu 30 Jun 2005 - 16:33:24 EST

davidr@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



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