Introductory Resources for Learning Cointegration
Summary
The document collects suggested starting points for learning cointegration before moving on to a more advanced market models text. Respondents point to a general reference, an accessible paper, and a short introductory book. The book is described as technically rigorous for a primer, with particular attention to error correction models and vector error correction models.
The recommendations reflect the questioner's request for a gentle treatment suitable for someone returning to mathematics after a long break. The material itself does not explain cointegration, give a trading strategy, or compare the suggested resources in detail. The book is characterized as useful for fundamentals but limited for advanced students and professionals, which is consistent with its role as a primer.
Key ideas
- Cointegration can be approached through accessible introductory references before advanced market models.
- The responses recommend a general reference, a simple paper, and a concise introductory book.
- The suggested book covers error correction and vector error correction models.
- The recommendations are primers and are not presented as sufficient for advanced study.
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Full text
# A gentle introduction to cointegration # A gentle introduction to cointegration > Possible Duplicate: What is the intuition behind cointegration? Although having a postgrad degree in mathematics, I haven't used any maths 'in anger' for quite a few years now, so I am quite rusty (actually, VERY rusty). I am looking for a gentle introduction to cointegration, that will prepare me with the fundamentals/foundation before I start to read Market Models by Carol Alexander (which I bought a few years ago!). Could someone suggest a link to such a simple introductory note. Preferably, one which does not make too much of an assumption on the mathematical background of the reader. ## Answer by strimp099 (score 2, accepted) https://quant.stackexchange.com/a/2862 I'm not sure this post will survive, but Wikipedia's treatment is fairly gentle. http://en.wikipedia.org/wiki/Cointegration Also, EP Chan did a simple paper on cointegration as well. http://epchan.com/downloads/cointegration.pdf ## Answer by Pedro G. Rodrigues (score 1) https://quant.stackexchange.com/a/2899 This book by Richard Harris is a great intro. The book is short but informative and technically rigorous. As a primer, it's fine. For the advanced student or professional it's obviously lacking, but that's the definition of a primer. ECM and VECM are particularly well treated.
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