Pair trading based on quantile forecasting of smooth transition GARCH models

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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書目詳細資料
Main Authors:	Cathy W.S. Chen, Zona Wang, Songsak Sriboonchitta, Sangyeol Lee
格式:	雜誌
出版:	2018
主題:	Agricultural and Biological Sciences
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84995480448&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/46793
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

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