Table 27 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
XMR | NEO | MKR | LTC | |||||
|---|---|---|---|---|---|---|---|---|
\(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | |
LINK | 0.0208 | 0.0148 | 0.0010 | 0.0162 | 0.0112 | 0.0092 | 0.0319 | 0.0102 |
LTC | 0.0102 | 0.0323 | 0.0010 | 0.0107 | 0.0024 | 0.0119 | ||
MKR | 0.0174 | 0.0055 | 0.0010 | 0.0096 | ||||
NEO | 0.0267 | 0.0065 | ||||||