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Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Meucci, Attilio - 2010
-Uhlenbeck process we introduce cointegration and its relationship to statistical arbitrage. We illustrate an application to swap … contract strategies. Fully documented code illustrating the theory and the applications is available at MATLAB Central …
Persistent link: https://www.econbiz.de/10013152769
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Arbitrage, market definition and monitoring a time series approach
Burke, Simon P.; Hunter, John - 2012
Persistent link: https://www.econbiz.de/10009664471
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Arbitrage, market definition and monitoring : a time series approach
Hunter, John; Burke, Simon P. - In: International journal of applied economics and … 22 (2014) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10010396226
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Nonlinear limits to arbitrage
Chen, Jingzhi; Cai, Charlie X.; Faff, Robert W.; Shin, … - In: The journal of futures markets 42 (2022) 6, pp. 1084-1113
Persistent link: https://www.econbiz.de/10013287917
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Pairs trading with fractional Ornstein-Uhlenbeck spread model
Xiang, Yun; Zhao, Yonghong; Deng, Shijie - In: Applied economics 55 (2023) 23, pp. 2607-2623
Persistent link: https://www.econbiz.de/10014295156
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Fractional Brownian motions in financial econometrics
Xiao, Weilin; Zhang, Xili - In: Financial econometrics : theory and applications, (pp. 198-234). 2025
Persistent link: https://www.econbiz.de/10015426497
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Arbitrage bounds and the time series properties of the discount on UK closed-end mutual funds
Copeland, Laurence S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003390739
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An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses
Christensen, Bent Jesper; Wel, Michael van der - 2010
Persistent link: https://www.econbiz.de/10003947812
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Extending the Fama and French model with a long term memory factor
López-García, M. N.; Trinidad-Segovia, J. E.; … - In: European journal of operational research : EJOR 291 (2021) 2, pp. 421-426
Persistent link: https://www.econbiz.de/10012495319
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Quantitative corporate finance
Guerard, John Baynard; Saxena, Anureet; Gültekin, … - 2021 - Second edition
and the Cost of Funds -- Chapter 11. Investing in Assets: Theory of Investment Decision Making -- Chapter 12. Regression …
Persistent link: https://www.econbiz.de/10012203303