Pair trading based on quantile forecasting of smooth transition GARCH models
© 2016 Elsevier Inc. Pair trading is a statistical arbitrage strategy used on similar assets with dissimilar valuations. We utilize smooth transition heteroskedastic models with a second-order logistic function to generate trading entry and exit signals and suggest two pair trading strategies: the f...
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| Main Authors: | , , , |
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| Format: | Journal |
| Published: |
2017
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| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84995480448&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/41054 |
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| Institution: | Chiang Mai University |