Lead/Lag Analysis - wilmott.com

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fire: Posts: 0; Joined: July 10th, 2003, 10:11 pm

Lead/Lag Analysis

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#1

August 31st, 2005, 2:47 pm

I am trying to find a lead-lag relationship between two time-series. Any suggestions on the software to use?thanks in anticipation


DJurdi: Posts: 0; Joined: June 18th, 2005, 4:38 pm

Lead/Lag Analysis

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#2

September 2nd, 2005, 4:40 pm

Eviews is easy to use and modelling lead lags is straight forward.


fire: Posts: 0; Joined: July 10th, 2003, 10:11 pm

Lead/Lag Analysis

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#3

September 3rd, 2005, 7:36 pm

thanks DJurdi ... but I think i would use the xcorr fxn in MATLAB. Any comments on that fxn?

Last edited by fire on September 2nd, 2005, 10:00 pm, edited 1 time in total.