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Given that $X_t , Y_t$ are two cointegrated random processes, what can we say about the relationship between variance of the two increments

$var(X_{t+h}-X_t)$ , $var(Y_{t+h}-Y_t)$ for a given $h>0$?

Thanks

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  • $\begingroup$ This should have been posted to Cross Validated because it considers statistical properties of time series. You should be able to get the answer there. $\endgroup$ – Richard Hardy Feb 25 '16 at 20:19

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