Message-ID: <1319562630184-3937455.post@n4.nabble.com>
Date: 2011-10-25T17:10:30Z
From: Pete Brecknock
Subject: Estimating co-integration factors of two time series
In-Reply-To: <60FF609C86F6794BBBF02B264D8BDDF78BE46E@SERVER010.live01.lan.local>
Russell Bowdrey wrote:
>
> So, there appear to be many, many routines for testing for unit roots or
> hypothesis tests on co integration (ca.jo, ca.po etc) - but I've yet to
> find a means of estimating the degree of co-integration between two time
> series.
>
> IT could be that I'm going about this the wrong way (or looking for the
> wrong technique), so here is my problem (which I thought was common and
> had been solved...):
>
> I want to measure the degree of co-movement between two assets or rates.
> For example the yield on a bond and the corresponding risk-free rate.
>
> Of course I could just look at Pearson/Spearman/Kendal correlation between
> the time series, but I believe that ignores time and so path dependence -
> which I think is important. Hence thinking about cointegration.
>
> Any thoughts?
>
>
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Perhaps Paul Teetor's example at
http://quanttrader.info/public/testForCoint.html maybe useful
HTH
Pete
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