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.
