Calculate rolling correlation with pandas

Question

I have a list of 10 stocks differentiated by PERMNO. I would like to group those stocks by PERMNO and calculate the rolling correlation between the stock return (RET) for ea

Answer 1

I found an efficient solution. Fairly simple.

def roll_corr_groupby(x,i):
    x['Z'] = rolling_corr(x['col 1'], x['col 2'],i) 
    return x

x.groupby(['key']).apply(roll_corr_groupby)
x.head()