require(tseries)

#DMCA correlation coefficient, lambda==k

DMCA_LRCC<-function(x,y,k){
	xx<-cumsum(x)
	yy<-cumsum(y)
	ma<-c(rep(1,k))/k
	X_MA<-filter(xx,ma)
	Y_MA<-filter(yy,ma)
	F2_xy<-mean((xx-X_MA)[(1+floor(k/2)):(length(xx)-floor(k/2))]*(yy-Y_MA)[(1+floor(k/2)):(length(yy)-floor(k/2))])
	F2_xx<-mean((xx-X_MA)[(1+floor(k/2)):(length(xx)-floor(k/2))]*(xx-X_MA)[(1+floor(k/2)):(length(xx)-floor(k/2))])
	F2_yy<-mean((yy-Y_MA)[(1+floor(k/2)):(length(yy)-floor(k/2))]*(yy-Y_MA)[(1+floor(k/2)):(length(yy)-floor(k/2))])
	rho<-F2_xy/sqrt(F2_xx*F2_yy)
	return(rho)
}