[R-SIG-Finance] how to study the lead and lag relation of two time series?
matthieu.stigler at gmail.com
Thu Jan 22 05:38:26 CET 2009
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?
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You can use cross-correlation:
Or use some VAR from package vars.
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