Matrix of cointegration as a var-cov matrix

1 回表示 (過去 30 日間)

fede 2015 年 9 月 22 日

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.

Computational Finance Datafeed Toolbox Financial Data Bloomberg Desktop

Help Center および File Exchange で Bloomberg Desktop についてさらに検索

Find the treasures in MATLAB Central and discover how the community can help you!

Translated by