Pairs trading with general state space models
Guang Zhang
| Year of publication: |
2021
|
|---|---|
| Authors: | Zhang, Guang |
| Subject: | Heteroscedasticity | Mean-reverting | Pairs trading | Quasi Monte Carlo Kalman filter | State space models | Zustandsraummodell | State space model | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1890806 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012624158