[R-SIG-Finance] How to find lead-lag relation in two time series?

[mat]

For lead and lags cross-correlation:

cc<-ccf(mdeaths, fdeaths,lag.max=4, plot=F)
cc
#but this function is rather ugly...

Patrick Burns a écrit :
> You want to use returns, not prices.
> Correlations with prices are spurious.
> (The extreme example is to think of
> a long set of series with inflation --
> all the price series will be positively
> correlated.)
>
>
> On 19/02/2010 23:15, Michael Jungle wrote:
>>
>> One possibility is to do the cross-correlation.
>>
>> What series shall I apply cross-correlation to? Price or return series?
>>
>> If I do cross-correlation on two price series, and found some large
>> correlation numbers,
>>
>> and then do cross-correlation on two return series, and found no 
>> significant
>> numbers(almost zero),
>>
>> What does that mean?
>