When it comes to comparing returns or prices of instruments like stocks/ETFs, are there any well-established formulas, or ones in common use, that place stronger emphasis on recent correlations more than on historical correlations farther in the past?
An analogy could be the relationship between a simple moving average and an exponential moving average, which weighs more recent prices more heavily.
Comments on relative usefulness also welcome. Fresh in mind is some wisdom I read elsewhere on this site.
If possible try to point out which correlation recipe it may be based off of (some examples).