Table 2 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
XLM | SOL | SNX | MKR | |||||
|---|---|---|---|---|---|---|---|---|
\(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | |
AAVE | 0.0146 | 0.0176 | 0.0051 | 0.0093 | 0.0136 | 0.0094 | 0.0483 | 0.0336 |
MKR | 0.0245 | 0.0179 | 0.0013 | 0.0179 | 0.0154 | 0.0154 | ||
SNX | 0.0044 | 0.0022 | 0.0010 | 0.0010 | ||||
SOL | 0.0046 | 0.0039 | ||||||