Pair trading based on quantile forecasting of smooth transition GARCH models
Cathy W.S. Chen, Zona Wang, Songsak Sriboonchitta, Sangyeol Lee
| Year of publication: |
January 2017
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| Authors: | Chen, Cathy W. S. ; Wang, Zona ; Songsak Sriboonchitta ; Lee, Sangyeol |
| 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. 39.2017, p. 38-55
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| Subject: | Pair trading | Bayesian inference | Smooth transition GARCH model | Second-order logistic transition function | Markov chain Monte Carlo methods | Out-of-sample forecasts | Quantile forecasting | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Theorie | Theory | Schätzung | Estimation | Markov-Kette | Markov chain | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Aktienindex | Stock index | Börsenkurs | Share price | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2016.10.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011878579