Dear all, Thanks for all your comments. I found that this temporary utility problem is mainly coming from the use of \view. I considered now all the observations and I did not have any problem about running proc corr statement (It ony took more time to do it). On the other hand, I used this 31 days assumption in order to take into account missing returns in some days. At the end, I am always imposing to get at least 750 trading days per stock but this way it is very easy to create the rolling windows. The only thing I do is to use a macro in order to compute the number of non-missing returns in these windows and impuse at least 750 days. Thanks a lot to all of you Best Pedro
... View more