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
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|---|---|
| Authors: | Endres, Sylvia ; Stübinger, Johannes |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 10, p. 1727-1740
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| 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 |
| 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