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The economic value of advanced time series methods for modelling and trading 10-year government bonds

Dunis, Christian; Morrison, Vincent - In: The European journal of finance 13 (2007) 3/4, pp. 333-352

Persistent link: https://www.econbiz.de/10003550391

Volatility filters for FX portfolios trading : the impact of alternative volatility models

Miao, Jianjun; Dunis, Christian - In: Applied financial economics letters 2 (2006) 6, pp. 389-394

Persistent link: https://www.econbiz.de/10003397275

Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects

Sermpinis, Georgios; Stasinakis, Charalampos; Dunis, … - In: Journal of international financial markets, … 30 (2014), pp. 21-54

Persistent link: https://www.econbiz.de/10011293055

Nonlinear modelling of high frequency financial time series

Dunis, Christian (ed.); Zhou, Bin (contributor) - 1998

Persistent link: https://www.econbiz.de/10013491172

Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities

Rudy, Jozef - 2013

The motivation for this paper is to apply a statistical arbitrage technique of pairs trading to high-frequency equity data and compare its profit potential to the standard sampling frequency of daily closing prices. We use a simple trading strategy to evaluate the profit potential of the data...

Persistent link: https://www.econbiz.de/10013081228