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1
Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1735-1751
Persistent link: https://www.econbiz.de/10012261908
Saved in:
2
Pairs trading with fractional Ornstein-Uhlenbeck spread model
Xiang, Yun
;
Zhao, Yonghong
;
Deng, Shijie
- In:
Applied economics
55
(
2023
)
23
,
pp. 2607-2623
Persistent link: https://www.econbiz.de/10014295156
Saved in:
3
Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert
;
Ceffer, Attila
;
Levendovszky, János
- In:
Computational economics
49
(
2017
)
4
,
pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
Saved in:
4
A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia
;
Stübinger, Johannes
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1727-1740
Persistent link: https://www.econbiz.de/10012194819
Saved in:
5
Bond intraday momentum
Zhang, Wei
;
Wang, Pengfei
;
Li, Yi
- In:
Journal of behavioral and experimental finance
31
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012815421
Saved in:
6
Profitability of trading in the direction of asset price jumps : analysis of multiple assets and frequencies
Fičura, Milan
- In:
Prague economic papers : a bimonthly journal of …
28
(
2019
)
4
,
pp. 385-401
Persistent link: https://www.econbiz.de/10012130976
Saved in:
7
Understanding intraday momentum strategies
Rosa, Carlo
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2218-2234
Persistent link: https://www.econbiz.de/10013465878
Saved in:
8
Covariance forecasting in equity markets
Symitsi, Efthymia
;
Symeonidis, Lazaros
;
Kourtis, Apostolos
- In:
Journal of banking & finance
96
(
2018
),
pp. 153-168
Persistent link: https://www.econbiz.de/10011967197
Saved in:
9
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
Saved in:
10
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
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