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   Cointegration
   















 

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Cointegration

An association between two time series which measures the extent to which fluctuations in one series offset fluctuations in another. Time leads or lags may be used, but a perfectly cointegrated and weighted pair of time series will sum to a straight line. Cointegration is used to model series and relationships characterized by persistence and is often modeled with mean reversion techniques. See R (Correlation Coefficient).

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