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I don't need something super complicated, I would just like a quick and dirty way of estimating the correlation coefficients between the revenues of different companies. Information on companies in the world as a whole would be desirable but is not necessary.

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I found US data here. While this data doesn't include correlations, these can be calculated relatively easily from this data.

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Sageworks has the data you'll need and will allow you run these correlations within their software.

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You can get individual company revenue and industry classification on Quantopian. You could then calculate the correlations. The data comes from Morningstar as described here: https://www.quantopian.com/posts/fundamental-data-from-morningstar-now-available-for-backtesting

(disclosure: I'm the ceo of quantopian).

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