Calculate Cross-Market Correlation

Calculate Cross-Market Correlation

Usage

calculate_cross_market_correlation(returns_dm, returns_em, window_size = 252)

Arguments

returns_dm

Developed market returns

returns_em

Emerging market returns

window_size

Rolling window size (default: 252)

Value

Array of rolling correlations

Examples

if (FALSE) { # \dontrun{
dm_returns <- get_stock_data(c("SPY", "EWU"))
em_returns <- get_stock_data(c("EWZ", "FXI"))
correlations <- calculate_cross_market_correlation(dm_returns, em_returns)
} # }