Engle-Granger test

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Bleaux
Posts: 4
Joined: Sat Jun 17, 2017 6:59 am

Engle-Granger test

Postby Bleaux » Mon Jul 03, 2017 12:10 pm

All,

What kind of variables can one use best for running this test between stock X and Y? Just the openingprice/date or also volume etc.

I know it's between time series, but I can add variables to a time serie.

Any particular issues I can run into?

Bleaux
Posts: 4
Joined: Sat Jun 17, 2017 6:59 am

Re: Engle-Granger test

Postby Bleaux » Mon Jul 10, 2017 4:30 am

Bump.


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