[S] A Simple Question about Correaltion

Mustaque Ahmed (Mustaque.Ahmed@wdr.com)
Wed, 26 Aug 98 11:35:30 -0400


Hi,

This is not a purely S-plus question. I am trying to measure the association
between two series. Historical correlation (as rescaled covariance) numbers
are not satisfactory. Any idea how I can get numbers that are more stable (?),
uses the probable existence of non-linearity & heteroscedasticity in data ?
I don't want to use anything like multivariate-GARCH at this point.

Thanks.

Mustaque Ahmed
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