Devon,
By "returns" can I assume you mean something like
financial returns where for example if you had the following
value figures at the end of various months, then your
returns would be calculated as suggested?
month value mnth return qtr return
0 100
1 110 10%100 (unknown)
2 121 11%100 (unknown)
3 130 9%100 30%100
4 139 9%100 (unknown)
If my assumption above is correct, is the correct
correlation for that one set of figures the correlation
between the following pairs and the pairs would be expanded
by three pairs for each additional set of quarters of data
you have?
0.10 0.11 0.09%12
0.30 0.30 0.30% 4
Or maybe the following pairs are better, but the
important point is that each quarterly aligns with 3 monthly
figures, and it is best that the three pieces be kept
pristine, imo.
0.11 0.09 0.09%12
0.30 0.30 0.30% 4
Otoh, if the quarterly figures are known and
calculated at the end of each month, then they each would be
used with a different month's figure.
Maybe I have this all wrong. Please advise.
(B=)
Brian Schott
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