An embedded and charset-unspecified text was scrubbed... Name: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20111025/b80fb340/attachment.pl>
Estimating co-integration factors of two time series
4 messages · Russell Bowdrey, Pete Brecknock, julien cuisinier +1 more
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?
This email and any attachments are confidential and inte...{{dropped:30}}
_______________________________________________ R-SIG-Finance@ mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Perhaps Paul Teetor's example at http://quanttrader.info/public/testForCoint.html maybe useful HTH Pete -- View this message in context: http://r.789695.n4.nabble.com/Estimating-co-integration-factors-of-two-time-series-tp3937426p3937455.html Sent from the Rmetrics mailing list archive at Nabble.com.
An embedded and charset-unspecified text was scrubbed... Name: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20111025/1b30c0ac/attachment.pl>
The "degree of cointegration" is not a well defined statistical concept. If two series are cointegrated then there exists an error correction representation for the bivariate system. You can estimate and analyze this bivariate system and the properties of the system can tell you things like (1) the speed of adjustment for each series in response to a deviation from the long-run trend (2) the speed of mean reversion of the cointegrating residual (3) whether a particular variable responds or not to the deviation from the long run trend (ie which variables appears to be driving the trend). You can also look at how well the error correction model fits (in terms of R2) to get an idea of how useful it is for in-sample prediction. -----Original Message----- From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Pete Brecknock Sent: Tuesday, October 25, 2011 10:11 AM To: r-sig-finance at r-project.org Subject: Re: [R-SIG-Finance] Estimating co-integration factors of two time series
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?
This email and any attachments are confidential and inte...{{dropped:30}}
_______________________________________________ R-SIG-Finance@ mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Perhaps Paul Teetor's example at http://quanttrader.info/public/testForCoint.html maybe useful HTH Pete -- View this message in context: http://r.789695.n4.nabble.com/Estimating-co-integration-factors-of-two-time- series-tp3937426p3937455.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.