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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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Vector autoregression : a critical tool in the arsenal of sales response modeling
Leachman, Lori L. - In: Studies in economic analysis 15 (1994) 2, pp. 3-30
Persistent link: https://www.econbiz.de/10001176451
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Towards automated share investment system
Ruta, Dymitr - In: Perception-based data mining and decision making in …, (pp. 135-153). 2007
Persistent link: https://www.econbiz.de/10003577396
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Pairs trading with partial cointegration
Clegg, Matthew; Krauss, Christopher - 2016
. We find annualized returns of more than 12 percent after transaction costs. These results can only partially be explained …
Persistent link: https://www.econbiz.de/10011458302
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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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Lead-lag patterns between small and large size portfolios in the London Stock Exchange
Mills, Terence C.; Jordanov, Jordan V. - 1999
Persistent link: https://www.econbiz.de/10001428275
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Recent developments in nonlinear cointegration with applications to macroeconomics and finance
Dufrénot, Gilles; Mignon, Valérie - 2002
Persistent link: https://www.econbiz.de/10001665206
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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