I'm looking to do a cointegration analysis of the oil industry, maybe a rolling regression too. The trouble is I'm unclear what variables would be most suitable.
For example, in the gold industry, it's common to perform a rolling regression of the stock symbols GLD and GDX (gold price and gold mining operations).
There are different oil price indices, and there seem to be different oil drilling stocks. I don't have enough industry background to know which two to go with. Has anyone tried cointegration analysis of oil stocks before, or is familiar with the existing literature to know what two oil stocks would be most analogous to the 2 gold stocks I mentioned above? If so, please recommend 2 stocks that I can look up on yahoo finance to try.
Thank you
Cointegration Analysis of Oil Industry
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