Multi-asset pair-trading strategy : a statistical learning approach
Tsai-Yu Lin, Cathy W. S. Chen, Fong-Yi Syu
| Year of publication: |
2021
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| Authors: | Lin, Tsai-Yu ; Chen, Cathy W. S. ; Syu, Fong-Yi |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 55.2021, p. 1-10
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| Subject: | Exponentially weighted moving average (EWMA) model | GARCH model | Multiple pair assets | Predictive function | Tolerance interval | Volatility forecast | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101295 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012667381