Search found 2 matches
- Wed Nov 04, 2009 2:12 pm
- Forum: Econometric Discussions
- Topic: Test for asymmetry in stock index correlations using VAR
- Replies: 1
- Views: 3475
Re: Test for asymmetry in stock index correlations using VAR
If I'm not completely lost I need to use a Granger Causality test to see the difference between the two periods. Then I have seen some research that study the correlations between the residual returns, what does that actually describe in simple English? Is there any good reason why I have to transfo...
- Tue Nov 03, 2009 10:35 am
- Forum: Econometric Discussions
- Topic: Test for asymmetry in stock index correlations using VAR
- Replies: 1
- Views: 3475
Test for asymmetry in stock index correlations using VAR
Hello, can anyone help me with one thing, I'm not that familiar with VAR models and my professor told me I could test this thing using VAR: I want to compare two different time periods (2005-2007 and 2007-2009) and check if for example 5 different stock indexes are more correlated during one of the ...