[S] A Simple Question about Correaltion

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


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.


Mustaque Ahmed
This message was distributed by s-news@wubios.wustl.edu. To unsubscribe
send e-mail to s-news-request@wubios.wustl.edu with the BODY of the
message: unsubscribe s-news