Non-linear dependence modelling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100
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/10.1080/00036846.2017.1305097
Reference43 articles.
1. Pairs trading based on statistical variability of the spread process
2. Pairs trading in the UK equity market: risk and return
3. Optimal portfolio selection in a Value-at-Risk framework
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