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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014
In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...
Persistent link: https://www.econbiz.de/10010259626
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Analyzing data revisions with a dynamic stochastic general equilibrium model
Croushore, Dean Darrell; Sill, D. Keith - 2014
Persistent link: https://www.econbiz.de/10010413292
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Law matters? : a Bayesian analysis of the cross-country relationship between anti-self-dealing rules and stock market outcomes
Xu, Wenming - In: Applied economics letters 21 (2014) 4/6, pp. 366-371
Persistent link: https://www.econbiz.de/10010413725
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Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720726
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Do experts incorporate statistical model forecasts and should they?
Legerstee, Rianne; Franses, Philip Hans; Paap, Richard - 2011
Persistent link: https://www.econbiz.de/10009720739
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Bayesian forecasting of federal funds target rate decisions
Hauwe, Sjoerd van den; Dijk, Dick van; Paap, Richard - 2011
Persistent link: https://www.econbiz.de/10009720780
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Investor learning and mutual fund family
Zhang, Zhichao; Ding, Li; Zhou, Si - In: Journal of empirical finance 26 (2014), pp. 171-188
Persistent link: https://www.econbiz.de/10010471990
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Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.; Embrechts, Paul; Sardy, S. - In: Journal of econometrics 181 (2014) 1, pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
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Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture
Huang, Jing-Zhi; Xu, Li - In: The quarterly journal of finance 4 (2014) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10010473521
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Discrimination for two-way models with insurance applications
Brown, G. O.; Buckley, W. S. - In: Risk and decision analysis 4 (2013) 4, pp. 267-290
Persistent link: https://www.econbiz.de/10010475798