Table 22 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
ZEC | VET | THETA | DOT | |||||
|---|---|---|---|---|---|---|---|---|
\(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | |
BCH | 0.0010 | 0.0331 | 0.0010 | 0.0283 | 0.0088 | 0.0287 | 0.0370 | 0.0161 |
DOT | 0.0338 | 0.0410 | 0.0010 | 0.0248 | 0.0025 | 0.0406 | ||
THETA | 0.0061 | 0.0283 | 0.0010 | 0.0010 | ||||
VET | 0.0010 | 0.0208 | ||||||