Matrix of cointegration as a var-cov matrix
Mostrar comentarios más antiguos
If I have the following matrix composed from name of stocks and their daily price time series
IBM JPM C
p11 p12 p13
p21 p22 p23
I want to obtain a cointegration matrix (utilizing the engle and granger test score) as a covariance matrix.
Respuestas (0)
Categorías
Más información sobre Econometrics Toolbox en Centro de ayuda y File Exchange.
el 22 de Sept. de 2015
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!
Translated by 
