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Dynamic cointegration and relevant vector machine: the relationship between gold and silver

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  • Isabella Procidano

    ()
    (Dep. of Statistics University Ca' Foscari Venice)

  • Margherita Gerolimetto
  • Silio Rigatti Luchini

Abstract

We 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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File URL: http://repec.org/sce2006/up.27361.1141139739.pdf
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Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 380.

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Date of creation: 04 Jul 2006
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Handle: RePEc:sce:scecfa:380

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Keywords: Dynamic cointegration; relevant vector machine;

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