Non-linear dependence modeling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100
Year of publication: |
2018
|
---|---|
Authors: | Krauss, Christopher ; Stübinger, Johannes |
Published in: |
Essays on quantitative finance in the context of statistical arbitrage. - Erlangen. - 2018, p. 11-45
|
Subject: | Multivariate Verteilung | Multivariate distribution | Arbitrage | Theorie | Theory | Portfolio-Management | Portfolio selection |
-
Statistical arbitrage with vine copulas
Stübinger, Johannes, (2016)
-
Krauss, Christopher, (2015)
-
Statistical arbitrage with vine copulas
Stübinger, Johannes, (2018)
- More ...
-
Krauss, Christopher, (2015)
-
Statistical arbitrage with vine copulas
Stübinger, Johannes, (2016)
-
Statistical arbitrage with vine copulas
Stübinger, Johannes, (2016)
- More ...