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Alberto Navarro

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01 Aug 2013 Weighted Correlation Matrix Compute coefficients of the Weighted Correlation Matrix, as an alternative to CORRCOEFF Author: Francesco Pozzi

Yes! That was exactly what I was attempting. This solution works great! You should consider making it into a new function and publishing it as an independent file. Maybe instead of an input vector w, the input could be a string with different methods of weight generators. Anyway, thanks a lot again for your submission and your quick help!
Best Regards!
Alberto

31 Jul 2013 Weighted Correlation Matrix Compute coefficients of the Weighted Correlation Matrix, as an alternative to CORRCOEFF Author: Francesco Pozzi

Dear Francesco,

I'm sorry. I messed up the input on my question. simsp500 and simcdax are both 6143x1 vectors, hence the input matrix [simsp500 simcdax]. The first time I tried the function, I also created a weights vector (6143x1) w, where all entries were 0.96. I would like to create a time series of the ewma correlation between this two simulated indexes with exponential smoothing of the weights for each of the 6143 periods of time. What I don't understand is if all the entries in the vector w are the same (0.96), will the function adjust and perform the smoothing automatically? Or should I program the vector w to already account for the smoothing by itself? In that case, should I use the exponential decay weights from one of the examples of the function? Is a weight vector where all entries are 0.94 useless? And finally, how could I achieve for the function to deliver a 3D matrix structure [2x2x6143] where every 2x2 matrix is the ewma correlation at each time period?

I hope the main question is clearer now. Thank you very much for your quick response! I really really appreciate the help!

Alberto

31 Jul 2013 Weighted Correlation Matrix Compute coefficients of the Weighted Correlation Matrix, as an alternative to CORRCOEFF Author: Francesco Pozzi

This delivers only one matrix. I assume its the correlation at the last time period. A correlation matrix for each time period would be much more useful. I attempted to calculate this with the following:
for i=1:6143
HTdummy(:,:,i)=weightedcorrs([simsp500(i) simcdax(i)],0.96)
end

I only get NaN. Could you lend some guidance to use your function to get the ewma correlation at each time period?

Most appreciated!

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