Create a cross correlation series

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Create a cross correlation series

Postby vumpi » Sat Dec 30, 2017 6:25 am

Hi! I am writting because I need to create a series from a cross correlation of 2 series which I am calculating in a moving temporal window (i.e. from 2004m01 to 2012m12, from 2004m02 to 2013m01 and so on with 12 lags) I have each cross correlation table, I freeze all the tables but I also need to condruct a series with each contemporary correlation (i=0) which is calculated in those tables and put them in a new series.
How can I extract and construct that series?
Thanks in advance and happy new year!!

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