Dynamic modelling of mean-reverting spreads for statistical arbitrage
K. Triantafyllopoulos; G. Montana
| Year of publication: |
2011
|
|---|---|
| Authors: | Triantafyllopoulos, K. ; Montana, G. |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 8.2011, 1/2, p. 23-49
|
| Subject: | Arbitrage | Mean Reversion | Mean reversion | Zinsstruktur | Yield curve | Dynamische Wirtschaftstheorie | Economic dynamics |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008992079