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;
2006-01-01
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
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