Neil R. Ericsson, James G. MacKinnon, Distributions of error correction tests for cointegration, The Econometrics Journal, Vol. 5, No. 2 (2002), pp. 285-318 ...

Two error correction terms specified as the differences from IBM prices on the NYSE indicate that adjustments maintaining the long-run cointegration equilibrium take place on all three exchanges.

ABSTRACT Hedging methods are divided into single-period and multiperiod forms. After reviewing some well-known hedging algorithms, two new procedures called the Dickey-Fuller optimal (DFO) method and ...