Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy
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Elsevier BV
Reference48 articles.
1. Optimal hedging using cointegration;C Alexander;Philosophical Transactions of the Royal Society Series A,1999
2. The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies. ISMA Discussion Papers in Finance 08;C Alexander;ISMA Finance,2002
3. Indexing and statistical arbitrage: tracking error or cointegration;C Alexander;Journal of Portfolio Management,2005
4. Indexing, cointegration and equity market regimes;C Alexander;International Journal of Finance and Economics,2005
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