Optimal trading strategies for Lévy-driven Ornstein–Uhlenbeck processes
Author:
Affiliation:
1. Department of Statistics and Econometrics, University of Erlangen–Nürnberg, Nürnberg, Germany
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2019.1566688
Reference70 articles.
1. Model verification for Lévy-driven Ornstein–Uhlenbeck processes with estimated parameters
2. Model verification for Lévy-driven Ornstein-Uhlenbeck processes
3. Goodness-of-fit tests for Lévy-driven Ornstein-Uhlenbeck processes
4. High-Frequency Financial Econometrics
5. Statistical arbitrage in the US equities market
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