
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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