Pairs trading: The performance of a stochastic spread model with regime switching-evidence from the S&P 500-Reference-Cited by-同舟云学术

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Pairs trading: The performance of a stochastic spread model with regime switching-evidence from the S&P 500

Published:2016-05 Issue: Volume:43 Page:139-150
ISSN:1059-0560
Container-title:International Review of Economics & Finance
language:en
Short-container-title:International Review of Economics & Finance

Author:

Yang Jen-Wei,Tsai Shu-Yu,Shyu So-De,Chang Chia-Chien

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference18 articles.

1. A regime-switching relative value arbitrage rule;Bock,2009

2. Does simple pairs trading still work?;Do;Financial Analysts Journal,2010

3. A new approach to modeling and estimation for pairs trading. Proceedings of 2006 Financial Management Association European Conference;Do,2006

4. Pairs trading;Elliott;Quantitative Finance,2005

5. Co-integration and error correction: Representation, estimation, and testing;Engle;Econometrica: Journal of the Econometric Society,1987

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1. Emerging markets' response to COVID-19: Insights from arbitrages strategies;Heliyon;2024-05

2. Exploring arbitrage opportunities between China's carbon markets based on statistical arbitrage pairs trading strategy;Environmental Impact Assessment Review;2023-03

3. Intraday high-frequency pairs trading strategies for energy futures: evidence from China;Applied Economics;2023-01

4. The impact of COVID on Conditional Correlation and Volatilities of Consumer Sentiment and Aggregate Stock Market;SSRN Electronic Journal;2023

5. A Stochastic Spread & Co-integration Approach to Pairs Trading in a Regime- Switching Environment;SSRN Electronic Journal;2022

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