A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance
Sergio M. Focardi, Frank J. Fabozzi, Ivan K. Mitov
| Year of publication: |
April 2016
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|---|---|
| Authors: | Focardi, Sergio M. ; Fabozzi, Frank J. ; Mitov, Ivan K. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 65.2016, p. 134-155
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| Subject: | Statistical arbitrage | Return-based factor models | Price-based factor models | Diebold-Mariano framework | Long-short strategies | Long-only strategies | Arbitrage | Theorie | Theory | Faktorenanalyse | Factor analysis | Portfolio-Management | Portfolio selection | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.10.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011634338