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Pairs trading: The performance of a stochastic spread model with regime switching-evidence from the S&P 500
16 references·0 citing·42 second hop
Pairs trading: The performance of a stochastic spread model with regime switching-evidence from the S&P 500 (2015)Pairs trading: The performance of a stoch…Patterns of volatility transmissions within regime switching across GCC and global markets (2013)Patterns of volatility transm…Markets contagion during financial crisis: A regime-switching approach (2010)Markets contagion during fina…Does Simple Pairs Trading Still Work? (2010)Does Simple Pairs Trading Sti…Operations Research Proceedings 2008 (2009)Operations Research Proceedin…Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Pairs Trading: Performance of…Pairs trading (2005)Pairs tradingPairs Trading: Quantitative Methods and Analysis (2004)Pairs Trading: Quantitative M…High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds (2004)High Frequency Pairs Trading …Pairs Trading: Performance of a Relative Value Arbitrage Rule (1999)Pairs Trading: Performance of…Pairs Trading: Performance of a Relative Value Arbitrage Rule (1998)Pairs Trading: Performance of…Regime switching in stock market returns (1997)Regime switching in stock mar…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market (1989)A Markov Model of Heteroskeda…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Efficient Capital Markets: II (1991)Critical market crashes (2003)Allowance price drivers in the first phase of the EU ETS (2009)Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Industry costs of equity (1997)STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK (2016)The profitability of pairs trading strategies: distance, cointegration and copula methods (2016)Automated trading systems statistical and machine learning methods and hardware implementation: a survey (2018)The Variation of Certain Speculative Prices (1963)A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Markov Model of Switching-Regime ARCH (1994)Estimating the Intertemporal Risk–Return Tradeoff Using the Implied Cost of Capital (2008)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)International Asset Allocation With Regime Shifts (2002)On Persistence in Mutual Fund Performance (1997)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Cryptocurrency trading: a comprehensive survey (2022)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)A literature review of technical analysis on stock markets (2017)Network analysis of global stock markets at the beginning of the coronavirus disease (Covid-19) outbreak (2020)Modelling and measuring price discovery in commodity markets (2010)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule785 cited
  • 1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market647 cited
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  • 1997Regime switching in stock market returns335 cited
  • 2005Pairs trading295 cited
  • 2010Does Simple Pairs Trading Still Work?243 cited
  • 2010Markets contagion during financial crisis: A regime-switching approach221 cited
  • 1998Pairs Trading: Performance of a Relative Value Arbitrage Rule203 cited
  • 1999Pairs Trading: Performance of a Relative Value Arbitrage Rule87 cited
  • 2004High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds72 cited
  • 2013Patterns of volatility transmissions within regime switching across GCC and global markets

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59 cited
  • 2009Operations Research Proceedings 200844 cited
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