COR calculates the correlation matrix
X and Y can contain missing values encoded with NaN.
NaN's are skipped, NaN do not result in a NaN output.
(Its assumed that the occurence of NaN's is uncorrelated)
The output gives NaN only if there are insufficient input data

COR(X);
calculates the (auto-)correlation matrix of X
COR(X,Y);
calculates the crosscorrelation between X and Y

c = COR(...);
c is the correlation matrix

NOTE: Under certain circumstances (Missing values and small number of samples)
abs(COR) can be larger than 1.
If you need abs(COR)<=1, use CORRCOEF. CORRCOEF garantees abs(COR)<=1.

see also: SUMSKIPNAN, COVM, COV, CORRCOEF

REFERENCES:
http://mathworld.wolfram.com/CorrelationCoefficient.html