What is the best command to return the % two stocks are cointegrated?
1 次查看(过去 30 天)
显示 更早的评论
I am wondering what command is the best that will return the % average two stocks are cointegrated?
2 个评论
Rick Rosson
2011-9-3
What does the term "cointegrated" mean in this context? Is it the same thing as "correlated" or is it something different?
the cyclist
2011-9-3
Rick, guessing he means this: http://en.wikipedia.org/wiki/Cointegration. It's a term used in economics and finance.
回答(2 个)
the cyclist
2011-9-3
Do you have the Economics Toolbox? I don't have it myself, but I expect there are functions in there that would help.
Rick Rosson
2011-9-4
The Cyclist is correct. The Econometrics Toolbox has two functions that test for cointegration:
- The Johansen cointegration test: jcitest
- The Engle-Granger cointegration test: egcitest
For more information:
HTH.
Best,
Rick
0 个评论
另请参阅
类别
在 Help Center 和 File Exchange 中查找有关 Cointegration Analysis 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!