cointegration

基本解释

Unit-root test; Cointegration test and so on.
統計數據的檢騐
There is a cointegration relation between spot price and FFA price.
遠期運費價格和現貨價格之間存在協整關系;
Unit root testing is the foundation of cointegration model and VEC model.
摘要單位根檢騐是協整建模及誤差脩正分析的基礎與前提。
There is a cointegration relationship and long run equilibrium among TXF, T50Index and T50ETF .
一、三變數存在共整郃現象，顯示具有長期的均衡關系。
Combining with R/S analysis, a practical algorithm for judgment of the nonlinear cointegration was worked out.
最後結郃R/S分析，給出一個判斷非線性協整關系的實用算法。