Systematic risk in pairs trading and dynamic parameterization

DOI10.1016/J.ECONLET.2021.109842zbMath1467.91205OpenAlexW3143885557MaRDI QIDQ2036933

Keith K. F. Law, Yiyun Li

Publication date: 30 June 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.109842

zbMATH Keywords

Kalman filtercointegrationpairs tradingsystematic riskdynamic threshold

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Pairs trading

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