Basket trading under co-integration with the logistic mixture autoregressive model
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Publication:2866372
DOI10.1080/14697688.2010.506445zbMath1277.91166OpenAlexW1971470873MaRDI QIDQ2866372
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Publication date: 13 December 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.506445
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- On a Mixture Autoregressive Conditional Heteroscedastic Model
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Pairs trading
- Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
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