This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and …

We develop a copula-based pairs trading framework and apply it to the S&P 100 index constituents from 1990 to 2014. We … of mispricing signals derived from the conditional marginal distribution functions of the t-copula. Finally, the most …

cumulative distribution function, or copula, of the percentile error in the outcome equation and the error in the participation … decision. Copula parameters are estimated by minimizing a method-of-moments criterion. Given these parameter estimates, the …