如何计算rollapply中几列和一列之间的滚动相关性？

问题

如果我想计算的滚动我的每个39股之间在其列相关stock_returns（XTS对象）和market_return（独立XTS对象，与市场回报只有一列）与rollapply：

rolling_3yearcor <- rollapply(stock_returns,width=750,FUN=cor,y=market_return)

我收到此错误：

Error in FUN(.subset_xts(data, (i - width + 1):i, j), ...) : incompatible dimensions

即使我的子集的单柱market_return与

rolling_3yearcor <- rollapply(stock_returns,width=750,FUN=cor,y=market_return$market)

即使它们具有相同的尺寸，我也收到错误消息？！（1 列，相同的行数）。

我想要什么：

我想要一个 xts 对象，它在 750 天滚动窗口中的 39 个股票列中的每一个中都具有 stock[i] 与市场的相关性，而不是stock_returns中的每日收益。

不应该 rollapply 做到这一点吗？

编辑 1：一天后移问题的数据样本

Returns StockA
1997-01-03 -0.0054065397
1997-01-06  0.0024139001
1997-01-07 -0.0030085614
1997-01-08  0.0054329941
1997-01-09 -0.0005990317
1997-01-10 -0.0102205387
...

带代码：

ind <- market_return
ind[] <- seq_along(market_return)
rolling_3yearcor <- function(x,y,ind){
  rollapply(ind,width=5,function(i) cor(x[i],y[i]))
}
rollcor_3year <- lapply(stock_returns,rolling_3yearcor,market_return,ind)
rollcor_3year <- as.data.frame(rollcor_3year,col.names=names(stock_returns))
colnames(rollcor_3year) <- colnames(stock_returns)
rollcor_3year <- as.xts(rollcor_3year)

给我：

dput(head(rollcor_3year$StockA.N))
structure(c(NA, NA, NA, NA, 0.30868769358199, 0.576490782746284
), .indexCLASS = c("POSIXct", "POSIXt"), tclass = c("POSIXct", 
"POSIXt"), .indexTZ = "", tzone = "", class = c("xts", "zoo"), index = 
structure(c(852246000, 
852505200, 852591600, 852678000, 852764400, 852850800), tzone = "", tclass = 
c("POSIXct", 
"POSIXt")), .Dim = c(6L, 1L), .Dimnames = list(NULL, "StockA.N"))

然后：

indexTZ(rollcor_3year) <- "UTC"
dput(head(rollcor_3year$StockA.N))

structure(c(NA, NA, NA, NA, 0.30868769358199, 0.576490782746284
), .indexCLASS = c("POSIXct", "POSIXt"), tclass = c("POSIXct", 
"POSIXt"), .indexTZ = c(TZ = "UTC"), tzone = c(TZ = "UTC"), class = c("xts", 
"zoo"), index = structure(c(852246000, 852505200, 852591600, 
852678000, 852764400, 852850800), tzone = c(TZ = "UTC"), tclass = 
c("POSIXct", 
"POSIXt")), .Dim = c(6L, 1L), .Dimnames = list(NULL, "StockA.N"))

它给了我：

head(rollcor_3year$StockA.N)
1997-01-02 23:00:00        NA
1997-01-05 23:00:00        NA
1997-01-06 23:00:00        NA
1997-01-07 23:00:00        NA
1997-01-08 23:00:00 0.3086877
1997-01-09 23:00:00 0.5764908