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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 walk and a mean-reverting component. We derive its representation in state space, provide a maximum likelihood based estimation routine, and a suitable likelihood ratio test....
Persistent link: https://www.econbiz.de/10011458302
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Outperforming the market using biliniarities in fundamentals and macroeconomic variables
Kloek, Teunis; Lucas, André; Dijk, Ronald van - 1995
Persistent link: https://www.econbiz.de/10000922344
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Special issue: Symposium on computational finance
Jensen, Bjarne Astrup (contributor) - 2000
Persistent link: https://www.econbiz.de/10001653140
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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
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Forecast ranked tailored equity portfolios
Buncic, Daniel; Stern, Cord - In: Journal of international financial markets, … 63 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012263321
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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
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Ensembling ARIMAX model in algorithmic investment strategies on commodities market
Jakubowski, Paweł; Ślepaczuk, Robert; Windorbski, … - 2023
Persistent link: https://www.econbiz.de/10014448210
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Corporate Scandals and Regulation : Appendix on Data Collection for Historical Time-Series from 1800 to 2015
Hail, Luzi - 2018
), Corporate Scandals and Regulation, Journal of Accounting Research 56(2): 617–671: a brief overview of the country's historical … the episodes of corporate scandals and (accounting) regulation that we identified (including a few illustrative examples …
Persistent link: https://www.econbiz.de/10012934134
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Investment characteristics of the market for paintings in Turkey : 1990 - 2005
Seckin, Aylin; Atukeren, Erdal - In: Investment management and financial innovations 6 (2009) 2, pp. 7-14
Persistent link: https://www.econbiz.de/10003918210