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Dynamic modeling of mean-reverting spreads for statistical arbitrage
16 references·5 citing·32 second hop
Dynamic modeling of mean-reverting spreads for statistical arbitrage (2009)Dynamic modeling of mean-reverting spread…Pairs trading (2005)Pairs tradingInvesting for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Bayesian Forecasting and Dynamic Models (2nd edn) (1998)Bayesian Forecasting and Dyna…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesOn the Behaviour of Commodity Prices (1992)On the Behaviour of Commodity…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…On The Behavior of Commodity Prices (1990)On The Behavior of Commodity …Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…A pairs trading strategy based on linear state space models and the Kalman filter (2016)A pairs trading strategy base…Understanding the Tracking Errors of Commodity Leveraged ETFs (2015)Understanding the Tracking Er…The golden target: analyzing the tracking performance of leveraged gold ETFs (2015)The golden target: analyzing …A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance (2015)A new approach to statistical…Seleção de uma Carteira de Pares de Ações Usando Cointegração: Uma Estratégia de Arbitragem Estatística (2013)Seleção de uma Carteira de Pa…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Time Series Regression with a Unit Root (1987)Inference in Linear Time Series Models with some Unit Roots (1990)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Asset Prices in an Exchange Economy (1978)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1988Mean reversion in stock prices1,888 cited
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  • 1990On The Behavior of Commodity Prices421 cited
  • 2005

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Pairs trading
295 cited

Cited by

  • 2015The golden target: analyzing the tracking performance of leveraged gold ETFs41 cited
  • 2015Understanding the Tracking Errors of Commodity Leveraged ETFs33 cited
  • 2013Seleção de uma Carteira de Pares de Ações Usando Cointegração: Uma Estratégia de Arbitragem Estatística32 cited
  • 2016A pairs trading strategy based on linear state space models and the Kalman filter31 cited
  • 2015A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance26 cited