The implications of cointegration in financial markets

Peijie Wang

Applied Economics Letters, 1995, vol. 2, issue 8, 263-265

Abstract: The associations between cointegration and the measurement of volatility and risk in traditional financial analysis literature are investigated and conferred empirical meanings under various market circumstances via the Granger representation theorem.

Date: 1995
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DOI: 10.1080/135048595357195

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