R users,

I am performing an analysis on energy time and crack spreads. Normally I use

a return whenever calculating a correlation. Does it make sense to take a

return when correlating times series which go negative frequently.

For instance if the spread goes from -.5 to -.6, is this a +20% change? What

about when the spread moves from 0 to .5?

Other than cross correlation is there any other statistic in R which may

help to reveal lead/lag relationships?

Thanks in advance,

Neil

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