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The implications of cointegration in financial markets

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  • Peijie Wang

Abstract

The associations between cointegration and the measurement of volatility and risk in traditional financial analysis literature are investigated and conferred empirical meanings under various market circumstances via the Granger representation theorem.

Suggested Citation

  • Peijie Wang, 1995. "The implications of cointegration in financial markets," Applied Economics Letters, Taylor & Francis Journals, vol. 2(8), pages 263-265.
  • Handle: RePEc:taf:apeclt:v:2:y:1995:i:8:p:263-265 DOI: 10.1080/135048595357195
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