Nonparametric tolerance limits for pair trading-Reference-Cited by-同舟云学术

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Nonparametric tolerance limits for pair trading

Published:2017-05 Issue: Volume:21 Page:1-9
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Chen Cathy W.S.^ORCID,Lin Tsai-Yu

Funder

Ministry of Science and Technology, Taiwan

Publisher

Elsevier BV

Subject

Finance

Reference10 articles.

1. Pairs trading via three-regime threshold autoregressive GARCH models;Chen,2014

2. Pair trading based on quantile forecasting of smooth transition GARCH models;Chen;North Am. J. Econ. Finance,2016

3. Pairs trading;Elliott;Quant. Finance,2005

4. Pairs trading: performance of a relative value trading arbitrage rule;Gatev;Rev. Financ. Stud.,2006

5. Statistical arbitrage pairs trading strategies: review and outlook;Krauss;J. Econ. Surv.,2016

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Systematic risk in pairs trading and dynamic parameterization;Economics Letters;2021-05

2. Multi-asset pair-trading strategy: A statistical learning approach;The North American Journal of Economics and Finance;2021-01

3. Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting;Journal of Risk Model Validation;2019

4. A single-stage approach for cointegration-based pairs trading;Finance Research Letters;2018-09

5. An Entropic Approach for Pair Trading;Entropy;2017-06-30

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