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A pairs trading strategy based on mixed copulas

  • Published:2023-02 Issue: Volume:87 Page:16-34
  • ISSN:1062-9769
  • Container-title:The Quarterly Review of Economics and Finance
  • language:en
  • Short-container-title:The Quarterly Review of Economics and Finance

Author:

Sabino da Silva Fernando A.B.,Ziegelmann Flavio A.,Caldeira João F.

Funder

Conselho Nacional de Desenvolvimento Científico e Tecnológico

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference38 articles.

1. On modelling speculative prices: the empirical literature;Andreou;Journal of Economic Surveys,2001

2. Dependence Structure and Risk Measure;Ane;The journal of business,2003

3. Coherent measures of risk;Artzner;Mathematical finance,1999

4. Statistical arbitrage in the US equities market;Avellaneda;Quantitative Finance,2010

5. An intertemporal asset pricing model with stochastic consumption and investment opportunities;Breeden;Journal of financial Economics,1979

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