[R-sig-finance] correlation between two stock market indices

[Vadim Ogranovich]

> *)  How correlation should be estimated depends on the use to 
> which it will be put.  If the time horizon of interest is 
> long -- on the order of two months or longer, then an 
> ordinary sample correlation should suffice.
> If the time horizon is short -- a day or a week, then a GARCH 
> model is going to be appropriate. 

To my embarrassment I do not understand this (we are talking about the
cross-correlation, aren't we?). Is there a paper I could consult to
close this gap in my education?

Thank you,
Vadim