A single-stage approach for cointegration-based pairs trading
K. F. Law, W. K. Li, Philip L. H. Yu
| Year of publication: |
2018
|
|---|---|
| Authors: | Law, K. F. ; Li, Wai Keung ; Yu, Philip L. H. |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 26.2018, p. 177-184
|
| Subject: | Cointegration | Pairs trading | Power statistic | Return maximization | Risk control | Portfolio-Management | Portfolio selection | Kointegration | Theorie | Theory | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2017.12.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012005658