co-integration approach, with a Markov regime-switching component. The empirical results show that the strategies deliver … trading, and in addition to this, extends the literature by introducing a regime-switching component in the co-integration …

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization … has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in …

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration … model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices …

An exploratory study is conducted to assess the persistence of cointegration among U.S. equities. In other words, if a … 2002-2012, comprising over 860,000 pairs in total. The evidence does not support the hypothesis that cointegration is a …

is employed for the estimation of the hidden Markov model including the asset return parameters, while the out …