[R-SIG-Finance] how to study the lead and lag relation of two time series?

[Matthieu Stigler]

Michael a écrit :
> Hi all,
>
> Is there a way to study the lead and lag relation of two time series?
>
> Let's say I have two time series, At and Bt. Is there a systematic way
> of concluding whether it's A leading B or B leading A and by how much?
>
> Thanks!
>
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You can use cross-correlation:
a<-rnorm(100)
 > b<-runif(100)
 > ccf<-ccf(a,b)
plot(ccf)
ccf$acf

Or use some VAR from package vars.

Bests Mat