Non-linear dependence modelling with bivariate copulas : statistical arbitrage pairs trading on the S&P 100
Christopher Krauss and Johannes Stübinger
| Year of publication: |
November 2017
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|---|---|
| Authors: | Krauss, Christopher ; Stübinger, Johannes |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 49.2017, 52, p. 5352-5369
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| Subject: | Statistical arbitrage | pairs trading | quantitative strategies | copula | Arbitrage | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Portfolio-Management | Portfolio selection | Statistische Methode | Statistical method | Statistische Methodenlehre | Statistical theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2017.1305097 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011845139