[prev in list] [next in list] [prev in thread] [next in thread] 

List:       r-sig-finance
Subject:    [R-SIG-Finance] Lagging Correlations
From:       Neil Gupta <neil.gup () gmail ! com>
Date:       2010-02-23 20:38:34
Message-ID: a51fe2df1002231238q407b3304mf006ea1f6761baf2 () mail ! gmail ! com
[Download RAW message or body]

Dear List,

I am working with an instrument which has only weekly data. I am trying to
find a hedging instrument using methods of correlation and cointegration.
Does R have a package which can lag a series until it finds the best
correlation. I have tried the ADF test and have not found any solid  values.

I understand correlation does not imply causation but I have not found any
other statistic that can help me find a potential hedging instrument.
If you have any suggestions with this type of data I would appreciate it.

Cheers,
NG

	[[alternative HTML version deleted]]

_______________________________________________
R-SIG-Finance@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
[prev in list] [next in list] [prev in thread] [next in thread]