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

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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Year of publication:	2006-07-04
Authors:	Procidano, Isabella ; Gerolimetto, Margherita ; Luchini, Silio Rigatti
Institutions:	Society for Computational Economics - SCE
Subject:	Dynamic cointegration \| relevant vector machine

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Extent:	application/pdf
Series:	Computing in Economics and Finance 2006.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Computing in Economics and Finance 2006 Number 380
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005706208