Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

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.

share|improve this question

marked as duplicate by Andrey Taptunov, Joshua Ulrich, Mike Spivey, Ryogi, Steve Feb 3 '12 at 23:31

This question has been asked before and already has an answer. If those answers do not fully address your question, please ask a new question.

This seems like something Google or Wikipedia should be able to answer. Is there something specific you're having trouble understanding? – chrisaycock Jan 31 '12 at 14:30
up vote 1 down vote accepted

I'm not sure this post will survive, but Wikipedia's treatment is fairly gentle.


Also, EP Chan did a simple paper on cointegration as well.


share|improve this answer

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.

share|improve this answer

Not the answer you're looking for? Browse other questions tagged or ask your own question.