https://communities.sas.com/t5/Statistical-Procedures/Calculating-rolling-correlation-and-covariance-for-a-large/m-p/426316#M22397 <P>I have a large dataset that contains daily returns for a many stocks. The dataset has 3 columns: date, stocks, and returns.<BR />I would like to calculate the rolling correlation and covariance between stocks for the last 1 week, 4 weeks (month), and 50 weeks (year).</P><P>FYI,&nbsp;I am implementing a Corsi HAR model as I try to predict correlation next period using the correlation between stocks during the last 1 week, 4 weeks and 50 weeks. What would be the best approach?<BR /><BR />Thank you very much for your help!</P> Wed, 10 Jan 2018 05:54:15 GMT somebody 2018-01-10T05:54:15Z https://communities.sas.com/t5/Statistical-Procedures/Calculating-rolling-correlation-and-covariance-for-a-large/m-p/426316#M22397 <P>I have a large dataset that contains daily returns for a many stocks. The dataset has 3 columns: date, stocks, and returns.<BR />I would like to calculate the rolling correlation and covariance between stocks for the last 1 week, 4 weeks (month), and 50 weeks (year).</P><P>FYI,&nbsp;I am implementing a Corsi HAR model as I try to predict correlation next period using the correlation between stocks during the last 1 week, 4 weeks and 50 weeks. What would be the best approach?<BR /><BR />Thank you very much for your help!</P> Wed, 10 Jan 2018 05:54:15 GMT https://communities.sas.com/t5/Statistical-Procedures/Calculating-rolling-correlation-and-covariance-for-a-large/m-p/426316#M22397 somebody 2018-01-10T05:54:15Z https://communities.sas.com/t5/Statistical-Procedures/Calculating-rolling-correlation-and-covariance-for-a-large/m-p/426324#M22398 <P>You can use PROC TIMESERIES with the OUTCROSSCORR= option.&nbsp;</P> <P>&nbsp;</P> <P>Provide sample data for code answer <span class="lia-unicode-emoji" title=":slightly_smiling_face:">🙂</span></P> Wed, 10 Jan 2018 07:42:17 GMT https://communities.sas.com/t5/Statistical-Procedures/Calculating-rolling-correlation-and-covariance-for-a-large/m-p/426324#M22398 PeterClemmensen 2018-01-10T07:42:17Z https://communities.sas.com/t5/Statistical-Procedures/Calculating-rolling-correlation-and-covariance-for-a-large/m-p/426709#M22413 <P>please see this link for the data it is too large to upload. (76mb) since it contains daily observations for some stocks.</P><P><A href="https://www.dropbox.com/s/wfngi8ayjj0drh2/stocks.csv?dl=0" target="_blank">https://www.dropbox.com/s/wfngi8ayjj0drh2/stocks.csv?dl=0</A></P> Wed, 10 Jan 2018 22:23:23 GMT https://communities.sas.com/t5/Statistical-Procedures/Calculating-rolling-correlation-and-covariance-for-a-large/m-p/426709#M22413 somebody 2018-01-10T22:23:23Z