How to find correlations between data over time? I have daily data of my sales and a daily update of how the COVID-19 cases increase. My daily sales contains information on my customer and on my product. My end goal would be to see if certain products are correlated (sold more or less) after covid than before. Or if certain regions had more sales before or after COVID.

My initial thought would be to do some kind of event analysis and compare if I have more sales before and after that certain event. Does anyone has some experience with this or can link some papers/references on this topic?
You can read about time varying correlation, you can obtain the correlation at each point in time based on some fixed number of last days, enough days to make it smooth but not many so as to be able to see changes in correlation. You can also use exponential smoothers to give more weight to recent observations. Also the dynamic conditional correlation might be interesting to you.