[R-SIG-Finance] correlation between two asynchronous time series?

[Xiaochen Sun]

Hi,
News Impact should be taken in account.
Regards
Mc

________________________________

From: r-sig-finance-bounces at stat.math.ethz.ch on behalf of Michael
Sent: Fri 14/11/2008 05:53
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] correlation between two asynchronous time series?



Hi all,

If I want to find out the correlation between two time series, one is
the Hong Kong stock index, the other is the S&P 500. The two markets
open at two different time.

What impact it might have on my estimate of the correlation of the two
series? How do I address this asynchronous time series problem? Any
good models?

Thanks a lot!

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