MATLAB: Simple correlation Question

correlation

Hi there. Here is my question.
Q) I have two time series of financial data. A = 1000 x 1 B = 1000 x 1
Now I want to find out the correlation of these at different frequencies.
So I want to test if A and all its lages is correlated with B and all its lags.
So I want to know for instance if the 5 minute price of A is correlated to the 2 minute price of B and etc etc….
I look forward to hearing a reply from you.

Best Answer

xcorr()
crosscorr()
Be careful with the word "frequency", there is a frequency domain correlation called coherence, but what you are after sounds like xcorr() or crosscorr()
For example:
    x = randn(1e3,1);
    y = randn(1e3,1);
    [xc,lags] = xcorr(y,x,'coeff');
Related Question