Say we have historical data on two time series. Say time series B is its own process and is not influenced at all by time series A, but time series A is highly dependent on time series B, say for example they have an 80% correlation with 0 lags both in the original time series and their first difference.

What are appropriate models which could help me awnser the following: Given a perturbation in the near future in B, by how much will A move?

To be more concrete, say B is oil price and A is an oil company, if oil increases or decreases by 5 bucks, by how much will the oil firm’s stock price move?

submitted by /u/its-trivial

[link] [comments]