Table 17 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
XTZ | LTC | EOS | ALGO | |||||
|---|---|---|---|---|---|---|---|---|
\(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | |
ADA | 0.0010 | 0.0010 | 0.0010 | 0.0010 | 0.0091 | 0.0058 | 0.0010 | 0.0123 |
ALGO | 0.0097 | 0.0204 | 0.0015 | 0.0187 | 0.0447 | 0.0276 | ||
EOS | 0.0032 | 0.0046 | 0.0011 | 0.0070 | ||||
LTC | 0.0010 | 0.0010 | ||||||