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How to find lead-lag relation in two time series?

Brian G. Peterson

Fri, Feb 19, 2010 2:50 PM

Michael Jungle wrote:

Lots of them.

What theory of lead-lag relationships are you trying to replicate?  On 
what type of data? 
(those are important inputs to answering what tools are available))

  - Brian

Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

Thread (12 messages)

Michael Jungle How to find lead-lag relation in two time series? Feb 19 Brian G. Peterson How to find lead-lag relation in two time series? Feb 19 Michael Jungle How to find lead-lag relation in two time series? Feb 19 Eric Zivot How to find lead-lag relation in two time series? Feb 19 Patrick Burns How to find lead-lag relation in two time series? Feb 20 Matthieu Stigler How to find lead-lag relation in two time series? Feb 20 Michael Jungle How to find lead-lag relation in two time series? Feb 20 Thomas Etheber How to find lead-lag relation in two time series? Feb 20 Sarbo How to find lead-lag relation in two time series? Feb 20 Michael Jungle How to find lead-lag relation in two time series? Feb 22 Brian G. Peterson How to find lead-lag relation in two time series? Feb 22 Sarbo How to find lead-lag relation in two time series? Feb 22