From help-octave-request at bevo dot che dot wisc dot edu Sun Jan 12 21:40:38 2003
Subject: how to generate a correlation matrix for multiple time series with some time lag (or lead)
From: "Shahbaz Chaudhary" <chaudhar at umich dot edu>
To: <help-octave at bevo dot che dot wisc dot edu>
Date: Sun, 12 Jan 2003 22:39:51 -0500

The corrcoef function seems to generate a correlation matrix of vectors
(each column representing a different vector), is there a way I can
introduce a lag...sort of like calculating a correlation matrix for
intra day values of 50 stock quotes (stock prices being quoted for every
second), then run it again but offsetting one of the vectors by a second
or two.

Essentially to see if one stock price follows another.

I'm fairly new to octave, so please let me know if I'm missing something
obvious.

Thanks.
Shahbaz C. 



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