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ArticleDynamic modeling of mean-reverting spreads for statistical arbitrage

Kostas Triantafyllopoulos2009

Article2009

Dynamic modeling of mean-reverting spreads for statistical arbitrage

Kostas Triantafyllopoulos · Giovanni Montana

49 citations·0/0 files stored·Computational Management Science

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Financial Markets and Investment Strategies Stochastic processes and financial applications Stock Market Forecasting Methods

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1990Forecasting, Structural Time Series Models and the Kalman Filter 1988Permanent and Temporary Components of Stock Prices 1988Trends and random walks in macroeconomic time series 1990Asymptotic Properties of Residual Based Tests for Cointegration

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Details

Year2009

Typearticle

Published2009-09-15

VenueComputational Management Science

ISSN-L1619-697X

Languageen

Citations49

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/s10287-009-0105-8

openalex_workW2102084986

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