I have a very simple prolem. When I have two series x and y, how can I calculate a rolling covariance between the two.

For example I want to calculate cov(x(t),y(t)) for t=1,...,20. Then I want to calculate cov(x(t),y(t)) for t=2,...,21 and so on. Then I want to save the covariance for later calculation within each iteration of the loop.

The cross instruction works well for printing the values, but I don't know how to safe the values. My code is

start = some date

end = some date +20

- Code: Select all
`do i = 0, 1813`

cross(from=0, to=0,covariances,results=cov) x y start+i end+i

end do i

Thank you

best jules