<r>Hi,I'm not sure below sources will help you out or not but I'm sure that you'll get at least something useful information.<URL url="http://www4.ncsu.edu/~dpellet/papers/dynamic_correlations.pdfhttp://ideas.repec.org/a/eee/econom/v131y2006i1-2p445-473.htmlhttp://ideas.repec.org/p/ecm/nasm04/230.ht...