[R-SIG-Finance] Estimating co-integration factors of two time series

[Pete Brecknock]

Russell Bowdrey wrote:
> 
> So, there appear to be many, many routines for testing for unit roots or
> hypothesis tests on co integration (ca.jo, ca.po etc)  - but I've yet to
> find a means of estimating the degree of co-integration between two time
> series.
> 
> IT could be that I'm going about this the wrong way (or looking for the
> wrong technique), so here is my problem (which I thought was common and
> had been solved...):
> 
> I want to measure the degree of co-movement between two assets or rates. 
> For example the yield on a bond and the corresponding risk-free rate.
> 
> Of course I could just look at Pearson/Spearman/Kendal correlation between
> the time series, but I believe that ignores time and so path dependence -
> which I think is important.  Hence thinking about cointegration.
> 
> Any thoughts?
> 
> 
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Perhaps Paul Teetor's example at
http://quanttrader.info/public/testForCoint.html maybe useful

HTH

Pete

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