Pairs trading of Chinese and international commodities
Author:
Affiliation:
1. Auckland University of Technology , Auckland, New Zealand
2. Open University , Heerlen, The Netherlands
3. University of Missouri – St. Louis , St. Louis, MO, USA
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2020.1761009
Reference40 articles.
1. Indexing and Statistical Arbitrage
2. Value and Momentum Everywhere
3. Bianchi, R. J. H. Fan , and T. Zhang . 2020. “Investable Commodity Premia in China.” Working paper .
4. Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
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