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Dynamic cointegration and relevant vector machine: the relationship between gold and silver

Isabella Procidano, Margherita Gerolimetto (margherita.gerolimetto@unive.it) and Silio Rigatti Luchini

No 380, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: We use the Relevant Vector Machine, a technique of supervised learning introduced by Tipping (2001), to conduct a dynamic cointegration analysis on the time series of the price of gold and silver over the period 1971-2004. Unlike the results of traditional cointegration analysis, this study reveals that there is a dynamic long run relationship over the whole period

Keywords: Dynamic cointegration; relevant vector machine (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2006-07-04
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Citations: View citations in EconPapers (1)

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