A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Sylvia Endres and Johannes Stübinger
| Year of publication: |
2019
|
|---|---|
| Authors: | Endres, Sylvia ; Stübinger, Johannes |
| Subject: | Finance | High-frequency data | Lévy-driven Ornstein-Uhlenbeck process | Markov regime switching | Pairs trading | Statistical arbitrage | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Theorie | Theory | Stochastischer Prozess | Stochastic process | Arbitrage |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1585562 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194819