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Large-scale empirical study on pairs trading for all possible pairs of stocks listed in the first section of the Tokyo Stock Exchange
Murota, Mitsuaki; Inoue, Jun-ichi - In: Evolutionary and institutional economics review 12 (2015) 1, pp. 61-79
Persistent link: https://www.econbiz.de/10011300172
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The trend is your friend : time-series momentum strategies across equity and commodity markets
Georgopoulou, Athina; Wang, Jiaguo - In: Review of finance : journal of the European Finance … 21 (2017) 4, pp. 1557-1592
Persistent link: https://www.econbiz.de/10011804328
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Co-integration in Pair Trading Strategies. Application to High-Frequency Data on American Equities
Wang, Joe - 2015
The aim of this research is to develop a profitable high frequency pair trading strategy based on selected stocks of S&P 500. The analysis is performed with co-integration method on the 1-minute high-frequency data covering the period Jan 1, 2010 - Dec 31, 2012. Empirical analysis presented in...
Persistent link: https://www.econbiz.de/10013029094
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Selection of the right risk measures for portfolio allocation
Nguyen, Thanh - In: International journal of monetary economics and finance 7 (2014) 2, pp. 135-156
Persistent link: https://www.econbiz.de/10010531305
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Nonlinear time series models in empirical finance
Franses, Philip Hans; Dijk, Dick van - 2000 - 1. publ.
Persistent link: https://www.econbiz.de/10001484071
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New methods in financial modeling : explorations and applications
Stokes, Houston H. - 1998 - 1. publ.
Persistent link: https://www.econbiz.de/10013549334
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Momentum and macroeconomic state variables
Kessler, Stephan; Scherer, Bernd - In: Financial markets and portfolio management 27 (2013) 4, pp. 335-363
Persistent link: https://www.econbiz.de/10010203023
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Macroeconomic fundamentals, jump dynamics and expected volatility
Pan, Zhiyuan; Bu, Ruijun; Liu, Li; Wang, Yudong - In: Quantitative finance 20 (2020) 8, pp. 1345-1371
Persistent link: https://www.econbiz.de/10012262666
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Zweistufige Performancemessung im Portfolio Management : ein Konzept zur Messung und Attribution von Anleger- und Managementeinflüssen
Rehkugler, Heinz; Schmidt- von Rhein, Andreas; Roth, Hanno - 1997 - 2., durchges. und korrigierte Aufl
Persistent link: https://www.econbiz.de/10000954218
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Essays in financial economics
Wachter, Jessica - 2000
Persistent link: https://www.econbiz.de/10003280740