metals cross correlations dear all ,
i have completed the cross - correlation study for the seven metals we have
data for - will complete for gold , silver and cocoa . i have also attached
the spreadsheet . correlations based on log - returns , 21 , 42 or 63 business
days for either front month only or average of entire futures curve - please
see data below or drill into spreadsheet . we can choose the most appropriate
time - bucket and whether to use front month or " average of curve " data .
regards ,
anjam
x 35383
spreadsheet :
metals cross correlations
dear all ,
i have completed the cross - correlation study for the seven metals we have
data for - will complete for gold , silver and cocoa . i have also attached
the spreadsheet . correlations based on log - returns , 21 , 42 or 63 business
days for either front month only or average of entire futures curve - please
see data below or drill into spreadsheet . we can choose the most appropriate
time - bucket and whether to use front month or " average of curve " data .
regards ,
anjam
x 35383
spreadsheet :