Pairs trading : the performance of a stochastic spread model with regime switching-evidence from the S&P 500
Jen-Wei Yang, Shu-Yu Tsai, So-De Shyu, Chia-Chien Chang
| Year of publication: |
May 2016
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|---|---|
| Authors: | Yang, Jen-Wei ; Tsai, Shu-Yu ; Shyu, So-De ; Chang, Chia-Chien |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 43.2016, p. 139-150
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| Subject: | Pairs trading | Mean reversion | Markov regime-switching | Portfolio | S&P 500 stock components | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Mean Reversion | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Theorie | Theory | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2015.10.036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011625559