I have a dataset with three variables: 1) mutual fund returns (MF), 2) stock index returns (SI), 3) oil price returns (OP).
I have computed a rolling (overlapping) window of correlation coefficients between i) MF and OP, and between ii) SI and OP. I get two vectors of N correlation coefficients each.
The eyeball-metric seems to indicate that case i) has a much higher correlation coefficient than case ii).
However, I want to test the difference in correlation statistically. How should this be done?