An improved test for statistical arbitrage
Robert Jarrow; Melvyn Teo; Yiu Kuen Tse; Mitch Warachka
| Year of publication: |
2012
|
|---|---|
| Authors: | Jarrow, Robert A. ; Teo, Melvyn ; Tse, Yiu Kuen ; Warachka, Mitch |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 15.2012, 1, p. 47-80
|
| Subject: | Bootstrap | Momentum strategy | Statistical arbitrage | Value strategy | Arbitrage | Theorie | Theory | Bootstrap-Verfahren | Bootstrap approach | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Statistische Methodenlehre | Statistical theory | Arbitrage Pricing | Arbitrage pricing |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009356613