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Calculate a time series of local correlations?

Posted 3 years ago

Hello there Wolfram Community,

I have 2 lists with financial data for example yields and stock returns. Now I want to calculate the volatility and the correlation as it can be seen in the picture. I am very overwhelmed when trying this in Mathematica, so thanks already for any help!

(the black graph is correlation, the other ones are volatility)

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POSTED BY: Peter Halftrav
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