Table 12 p-values of the Johansen cointegration test (\(r_0, r_1\)) for all pairs
From: Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
GRT | FTM | FIL | CHZ | |||||
|---|---|---|---|---|---|---|---|---|
\(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | |
AXS | 0.0043 | 0.0090 | 0.0103 | 0.0077 | 0.0010 | 0.0044 | 0.0010 | 0.0118 |
CHZ | 0.0010 | 0.0115 | 0.0037 | 0.0102 | 0.0010 | 0.0046 | ||
FIL | 0.0010 | 0.0033 | 0.0010 | 0.0028 | ||||
FTM | 0.0010 | 0.0077 | ||||||