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Cointegration

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Updated: Aug 20, 2021

Two or more series of non-stationary random variables are cointegrated if there exists a stationary linear combination of these variables. Cointegrated series share a common stochastic trend.

Cointegration

Reference: Oxford Press Dictonary of Economics, 5th edt.


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James is a lead content editor for Invezz. He's an avid trader and golfer, who spends an inordinate amount of time watching Leicester City and the… read more.