<t>QuoteOriginally posted by: jawabeanQuoteOriginally posted by: doubleslitDELETEDsmart move there's no point in correlation if the two series are non-stationeryYah I knew something wasn't right with my analysis. We need joint stationarity for correlation analysis. So if I'm looking at a price to sa...

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What is the best method for lead/lag analysis of 2 time series? Cross-correlation? Cointegration?

QuoteOriginally posted by: mackbardoubleslit,If you like vampires, you might enjoy this:A Rare and Dangerous Black Swan Formationlove it!

Its just my feeble attempt at dry humor...nothing more nothing less.

<t> Recipe For DisasterThis is my hypothesis: Gaussian Copula is Count Chocula's twin brother.1. Count Chocula entices young children with his sugary cereal. Gaussian Copula entices adult bankers with his clever formula. 2. Count Chocula's cereal is packed with ingredients that children do not fully...

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its really not that far fetched of an idea though right?

<r>QuoteOriginally posted by: pnrodriguezTake a look at this great article, <URL url="http://www.cis.upenn.edu/group/datamining/ReadingGroup/papers/breiman2001.pdf"><LINK_TEXT text="http://www.cis.upenn.edu/group/datamini ... an2001.pdf">http://www.cis.upenn.edu/group/datamining/ReadingGroup/papers/...

I was wondering the same thing. I think you could model an AIG CDS using Ogata's Marked Spatial-Temporal Point Process model.

MATLAB's website has a demo version of MATLAB for the iPhone on their website. Its pretty kewl! Check it out.

I would also add that there is evidence of seasonality in the bottom 2 PACF charts. Hence, a Box-Jenkins SARIMA model would be appropriate in this situation. Check out The Analysis of Time Series by Chris Chatfield along with HP Scanjet User Manual. Both great books in their own right.

The Analysis of Time Series - Chris Chatfield