Create a combination of stocks to test the cointegration from a database

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fede le 22 Sep 2015

Clôturé : MATLAB Answer Bot le 20 Août 2021

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

....................

pn1 pn2 pn3

and I want to obtain all possible linear combination (eg C-JPM, JPM-IBM, C-IBM) and test for each couple the cointegration test (adf), to obatin:

C-JPM=result test

JPM-IBM=result test

C-IBM=result test

Cette question est clôturée.

Cette question est clôturée.

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