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Thanks for the package. No, I didn't check the log likelyhoods of TimeSeriesModelFit or EstimatedProcess - simply because I don't know how to! Could you point me in the right direction? |
I am trying to test the cointegration between two ETFs. -----------------------------------------------------------[mcode]ewa = FinancialData["NYSE:EWA", {{2006, 4, 4}, {2012, 4, 9}}, "Value"]; ewc = FinancialData["NYSE:EWC", {{2006, 4, 4}, {2012, 4,... |