# Cointegration and correlation

Based on real data (e.g. spot and futures prices of an index) if two series are correlated in the long run (e.g. strong positive significant correlation) it does not mean that they are cointegrated.

What if two series are cointegrated: can we infer that they are also correlated in the long run? Can we find a case with real data that two series are cointegrated but they are not correlated in the long run?

• Do you have a precise definition of what you mean by correlated in the long run? – cardinal Nov 12 '11 at 14:40