Intermarket Analysis and J Murphy by Charty

Charty, it's interesting that you draw attention to inter-market correlations. A lot of formal economteric work across different markets has been undertaken in this area. It runs deeper than just looking at lead-lag cross-correlations.If you want to look at the lead-lag relationshipos beween different the different asset classes then you need to consider short-term and long-term correlations.One class of models that may help here are vector error correction models (VECM). I'd certainly be interested in any results you obtain. Keep it comming.
 

CHARTY

Active member
119 1
Yep, at the moment I am still sticking to the basics. But will keep everyone posted.

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The above does not represent financial advice.
 

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