Pre-selection in cointegration-based pairs trading

DOI10.1007/s10260-023-00702-4OpenAlexW3159205941MaRDI QIDQ6122770

Marianna Brunetti, Roberta De Luca

Publication date: 1 March 2024

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-023-00702-4

zbMATH Keywords

cointegrationpairs tradingrisk factorspre-selectionspectral coherence

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Understanding spurious regressions in econometrics
• Statistical analysis of cointegration vectors
• Spurious regressions in econometrics
• Residual-based tests for cointegration in models with regime shifts
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for cointegration at any frequency using spectral methods
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Cointegration in frequency domain
• DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Pairs trading with partial cointegration
• Common risk factors in the returns on stocks and bonds
• Pairs trading via unsupervised learning