Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
Gianna Figá-Talamanca, Sergio Focardi, Marco Patacca
| Year of publication: |
2021
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|---|---|
| Authors: | Figà-Talamanca, Gianna ; Focardi, Sergio M. ; Patacca, Marco |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 44.2021, 2, p. 863-882
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| Subject: | Cryptocurrencies | Cointegration | Dynamic factor models | Forecasting analysis | Pair-trading | Virtuelle Währung | Virtual currency | Prognoseverfahren | Forecasting model | Kointegration | Faktorenanalyse | Factor analysis | Dynamische Wirtschaftstheorie | Economic dynamics | Schätzung | Estimation | Arbitrage |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-021-00318-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012795004