Statistical arbitrage with vine copulas
Johannes Stübinger, Benedikt Mangold and Christopher Krauss
| Year of publication: |
2018
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|---|---|
| Authors: | Stübinger, Johannes ; Mangold, Benedikt ; Krauss, Christopher |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 11, p. 1831-1849
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| Subject: | Copulas | Dependence structures | Finance | Pairs trading | Quantitative strategies | Statistical arbitrage | Arbitrage | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Portfolio-Management | Portfolio selection | Arbitrage Pricing | Arbitrage pricing | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1438642 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012262849