Engle-Granger test
Posted: 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?
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?