I am working on correlations between stock and bond markets . For instance, I want to determine first correlation between bonds and stocks and then using that correlation as dependent variable. I want to look possible factors explaining that correlation.
However i have no idea how to extract correlation series to build my dependent variable(my data is from 1980 to 2017). Shall i go for rolling window correlation or is there any other alternative to create correlation series that will serve as dependent variable?
I would be thankful for your suggestions.
For econometric discussions not necessarily related to EViews.
1 post • Page 1 of 1
Who is online
Users browsing this forum: Google [Bot] and 5 guests