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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://repec.org/sce2006/up.27361.1141139739.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:380
Access Statistics for this paper
More papers in Computing in Economics and Finance 2006 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum (baum@bc.edu).