This study investigates the relationship between the price of gold and silver over the period 1971-2004. Unlike analysts and traders expections, the results of traditional cointegration analysis reveals that the relationship between gold and silver might well be not stable. Using the Relevant Vector Machine, a technique of supervised learning introduced by Tipping (2001), we examine whether some form of dynamic cointegration is more adapt than traditional cointegration to capture the long-run behaviour of the data set

Developments in the study of cointegrated economics variables: dynamic adjustments

GEROLIMETTO, Margherita;PROCIDANO, Isabella;
2006

Abstract

This study investigates the relationship between the price of gold and silver over the period 1971-2004. Unlike analysts and traders expections, the results of traditional cointegration analysis reveals that the relationship between gold and silver might well be not stable. Using the Relevant Vector Machine, a technique of supervised learning introduced by Tipping (2001), we examine whether some form of dynamic cointegration is more adapt than traditional cointegration to capture the long-run behaviour of the data set
Atti del Convegno Nazionale delle Ricerche sulle Serie temporali, SER2006
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10278/29382
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