Co-integration and Structural Breaks Time Series Analysis using R on 100 year bond yields
Co-Integration in Time Series Analysis is when one data points is depended on other data points or follow the pattern. Example in capital markets Industry or sector leader company stock leads the direction and many small companies follows it. Example : Crude oil and Gasoline prices. Price of gasoline is dependent on Crude oil prices. Here Crude oil price always drives gasoline prices. To analyze similar co-integration used Moody's corporate AAA and BBB Bond Yields. Corporate bond BBB yields are…See More
