A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Author:
Affiliation:
1. Department of Statistics and Econometrics, University of Erlangen–Nürnberg, D-90403, Nürnberg, Germany
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1585562
Reference58 articles.
1. High-Frequency Financial Econometrics
2. Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns
3. International Asset Allocation With Regime Shifts
4. Statistical arbitrage in the US equities market
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