Cheng, Xixin; Yu, Philip L.H.; Li, W.K. - In: Quantitative Finance 11 (2011) 9, pp. 1407-1419
In this paper, we propose a co-integration model with a logistic mixture auto-regressive equilibrium error (co-integrated LMAR), in which the equilibrium relationship among cumulative returns of different financial assets is modelled by a logistic mixture autoregressive time series model. The...