Narrow search
Showing 1 - 10 of 18,846
Cover Image
Pairs trading with partial cointegration
Clegg, Matthew; Krauss, Christopher - 2016
Partial cointegration is a weakening of cointegration that allows for the "cointegrating" process to contain a random … estimation routine, and a suitable likelihood ratio test. Then, we explore the use of partial cointegration as a means for … identifying promising pairs and for generating buy and sell signals. Specifically, we benchmark partial cointegration against …
Persistent link: https://www.econbiz.de/10011458302
Cover Image
Investigating the use of statistical process control charts for index tracking portfolios
Sant'Anna, Leonardo Riegel; Filomena, Tiago Pascoal; … - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1622-1638
Persistent link: https://www.econbiz.de/10012214352
Cover Image
Stock markets, current account dynamics, and exchange rate determination
Mercereau, Benoît - 2002
Persistent link: https://www.econbiz.de/10003780033
Cover Image
A comparison of cointegration and copula asset allocation approaches
Stander, Y. S.; Marais, Daniël J.; Botha, I. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 37 (2013) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10010248325
Cover Image
Systematic risk in pairs trading and dynamic parameterization
Li, Yiyun; Law, Keith K. F. - In: Economics letters 202 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012607236
Cover Image
Cointegration in Finance : An Application to Index Tracking
Maurer, Thomas Andreas - 2010
cointegration analysis of the price processes of assets (CIT strategy), and the other based on a market equilibrium and continuous …
Persistent link: https://www.econbiz.de/10013144978
Cover Image
Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
Lee, Sangmin; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10011686768
Cover Image
Pairs trading with partial cointegration
Clegg, Matthew; Krauss, Christopher - In: Quantitative finance 18 (2018) 1, pp. 121-138
Persistent link: https://www.econbiz.de/10011905837
Cover Image
Industry-specific long-run relationships in stock prices : cointegration evidence from Germany
Sapusek, Annemarie - 1999
Persistent link: https://www.econbiz.de/10001430491
Cover Image
Portfolio balance approach to asymmetries, structural breaks and financial crisis : testing a model for Nigeria
Adekoya, Oluwasegun B. - In: CBN journal of applied statistics 11 (2020) 1, pp. 87-110
This study tests the Portfolio Balance Theory (PBT) for Nigeria for the period starting from September, 1997 to …
Persistent link: https://www.econbiz.de/10012297508