Has anyone done a Cholesky/ variance decomposition before? I am currently doing a project- the idea is to find out the correlation between different stock markets, incorporating directionality. I have stock market returns for around 12 countries and for 3 periods (as I want to do a lag of 2).
I know how to get the correlation through normal regression methods, but am clueless about the directionality part. I've seen the code for Cholesky but I have NO idea how to implement it.
Can anyone help me out at all?
Thanks,
JM
I know how to get the correlation through normal regression methods, but am clueless about the directionality part. I've seen the code for Cholesky but I have NO idea how to implement it.
Can anyone help me out at all?
Thanks,
JM
