Systematic risk in pairs trading and dynamic parameterization
Yiyun Li, Keith K.F. Law
| Year of publication: |
2021
|
|---|---|
| Authors: | Li, Yiyun ; Law, Keith K. F. |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 202.2021, p. 1-6
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| Subject: | Cointegration | Dynamic threshold | Kalman filter | Pairs trading | Systematic risk | Zustandsraummodell | State space model | Risiko | Risk | Kointegration | Theorie | Theory | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | CAPM | Kapitalanlage | Financial investment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2021.109842 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012607236