Dynamic cointegration and relevant vector machine: the relationship between gold and silver
AbstractWe use the Relevant Vector Machine, a technique of supervised learning introduced by Tipping (2001), to conduct a dynamic cointegration analysis on the time series of the price of gold and silver over the period 1971-2004. Unlike the results of traditional cointegration analysis, this study reveals that there is a dynamic long run relationship over the whole period
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 380.
Date of creation: 04 Jul 2006
Date of revision:
Dynamic cointegration; relevant vector machine;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-15 (All new papers)
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- Escribano, Álvaro & Granger, C.W.J. (Clive William John), 1998. "Investigating the Relationship between Gold and Silver Prices," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/2558, Universidad Carlos III de Madrid.
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