In a previous post, I discussed the various scenarios for running significance tests on correlations.
A researcher recently asked me how to calculate confidence intervals for two correlations that share a common variable (i.e., dependent correlations).
I referred her to:
Zou, G. (2007). Toward using confidence intervals to compare correlations. Psychological Methods, 12(4), 399. Guang Yong Zou also provides some SAS macros.
An alternative option would be to calculate the confidence intervals using bootstrapping. I have a general post on implementing bootstrapping in R. This seems like a good scenario to use bootstrapping. I may in the future get round to providing demonstration code.