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Suppose I have two series: x1 and x2. Daily data for 10 years.

While I have read through the rolling regression thread, I'm not sure that I'm able to apply that to rolling correlation. Could someone demonstrate how a program could create a new series based on a rolling window? I'd like to use a rolling 250 size window.

Thanks

https://eviews.com/help/helpintro.html# ... tions.html

or

https://eviews.com/help/helpintro.html# ... ns.html%23

depending on the type of roll you want.

I have the same issue. I have a daily averages data for 25 days of 47 stations , and i am interested in using rolling regression/rolling correlation and wondering how to choose the window size? and how to compute the rolling correlation? any help?