I have a basket of time series (stock prices). I want to find the N (fixed or not) time series that will best replicate the basket in the sense that combination of them will be best cointegrated with the basket.
Beside using the N series that have the best cointegration scores (ADF test) and regressing these variables against the basket. Do you know of other/better methodologies for doing that?



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.