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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...

Persistent link: https://www.econbiz.de/10010259626

The role of the constant and linear terms in cointegration analysis of nonstationary variables

Johansen, Søren - In: Econometric reviews 13 (1994) 2, pp. 205-229

Persistent link: https://www.econbiz.de/10001163113

Testing weak exogeneity and the order of cointegration in UK money demand data

Johansen, Søren - In: Journal of policy modeling : JPMOD ; a social science … 14 (1992) 3, pp. 313-334

Persistent link: https://www.econbiz.de/10001125795

Estimating systems of trending variables

Johansen, Søren - In: Econometric reviews 13 (1994) 3, pp. 351-386

Persistent link: https://www.econbiz.de/10001172757

Mathematical and statistical modelling of cointegration

Johansen, Søren - 1997

Persistent link: https://www.econbiz.de/10013420117

Asymptotic inference on cointegrating rank in partial systems

Harbo, Ingrid; Johansen, Søren; Nielsen, Bent; Rahbek, … - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 4, pp. 388-399

Persistent link: https://www.econbiz.de/10001251806

Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models

Johansen, Søren - In: Econometrica : journal of the Econometric Society, an … 59 (1991) 6, pp. 1551-1580

Persistent link: https://www.econbiz.de/10001115941

Discussion of the forward search : theory and data analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

Johansen, Søren; Nielsen, Bent - 2010

Persistent link: https://www.econbiz.de/10003929159

Discussion of the forward search : theory and data analysis by Anthony C. Atkinson , Marco Riani and Andrea Ceroli

Johansen, Søren; Nielsen, Bent - 2010

Persistent link: https://www.econbiz.de/10003943208

The analysis of marked and weighted empirical processes of estimated residuals

Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019

Persistent link: https://www.econbiz.de/10012177516

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