[R] [R-SIG-Finance] question on analyzing of correlation structure

Leeds, Mark (IED) Mark.Leeds at morganstanley.com
Fri Aug 3 15:50:31 CEST 2007

I don't understand your question but there is a package called VARs
that may be helpful to you.

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of liu lu
Sent: Friday, August 03, 2007 8:39 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] question on analyzing of correlation structure

I am currently working on an empirical analysis of the respective A and
B series in the three markets: X, Y, and Z.  Suppose the correlation of
the A & B series in market X shows a different pattern for the
significant short-run adjustment as the impulse reponse fuctions
indicate (Haan, Wouter J. den. 2000. The comovement between output and
prices. Journal of Monetary Economics 46:3-30.). 


Could somebody share some ideas about any package can do the following:
(1) to work out the factors contributing the disparity; (2) to contrast
and highlight the difference.


Many thanks to your kind attention.


Wei-han Liu


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