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Correlation of time series - is there a better indicator?

  1. Jun 26, 2012 #1
    Is correlation between 2 time-series a useful indicator? In currency pairs for example, sometimes the correlation between 2 pairs (e.g. EUR/USD and GBP/USD) for the past x days is strong, but it can weaken very fast. Should I just take the average over time and go with it, or is there a better indicator to measure a relation between 2 time-series?
     
  2. jcsd
  3. Jun 26, 2012 #2
    Hi Tosh

    Usually a shift between series is also considered. This relationship between two time series is called Cross Correlation

    This functionality is implemented in R in the function ccf
     
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