cumulative maximum loss (2 year rolling)

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cumulative maximum loss (2 year rolling)

Postby CNR15 » Wed Feb 21, 2024 1:07 pm

Sorry for cross posting here. I am hoping someone could help with this. I am looking to compute the cumulative maximum loss (CMAX) that
corresponds to the maximum loss compared to the highest level of a stock index over a two year period, using monthly data. I am having trouble doing this as I am unsure how to loop over the rolling two year window. Does anyone have any idea how to do this?


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