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

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

Risposte (0)

Questa domanda è chiusa.

Richiesto:

il 22 Set 2015

Chiuso:

il 20 Ago 2021

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