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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Bibliographic Details
Main Authors: Chen C., Wang Z., Sriboonchitta S., Lee S.
Format: Journal
Published: 2017
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