MARKET ANALYSIS BASED ON COINTEGRATION THEORY
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MARKET ANALYSIS BASED ON COINTEGRATION THEORY
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PII
S042473880000616-6-1
Publication type
Article
Status
Published
Edition
Pages
101-110
Abstract
The analysis of macroeconomic data almost always faces the problem of non-stationary series and series with General dynamics. Recent studies have shown that along with the usual classical methods of Box-Jenkins and Engle-Granger, there is a more productive and adequate method for analyzing non-stationary series, which, according to the idea of cointegration theory, allows us to obtain a functional dependence based on non-stationary series. In this paper, we consider the Johansen method for finding the integration space, and give an example of using the method for analyzing the Russian financial market. The author's approach consists in the practical application of the cointegration apparatus, which is little known and practically not used by economists in Russia.
Date of publication
01.04.2007
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