Sparse vector error correction models with application to cointegration‐based trading-Reference-Cited by-同舟云学术

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Sparse vector error correction models with application to cointegration‐based trading

Published:2020-09 Issue:3 Volume:62 Page:297-321
ISSN:1369-1473
Container-title:Australian & New Zealand Journal of Statistics
language:en
Short-container-title:Aust. N. Z. J. Stat.

Author:

Lu Renjie¹,Yu Philip L.H.¹²^ORCID,Wang Xiaohang³⁴

Affiliation:

1. Department of Statistics and Actuarial Science The University of Hong Kong Hong Kong Hong Kong

2. Department of Mathematics and Information Technology The Education University of Hong Kong Hong Kong Hong Kong

3. School of Computer Science Fudan University Shanghai 200433China

4. Zhuhai Fudan Innovation Institute Hengqin New Area 519000Zhuihai China

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/anzs.12304

Reference26 articles.

1. Optimal selection of reduced rank estimators of high-dimensional matrices

2. Testing for co-integration in vector autoregressions with non-stationary volatility

3. Sparse Reduced-Rank Regression for Simultaneous Dimension Reduction and Variable Selection

4. Cubadda G.&Breitung J.(2009).Testing for cointegration in high‐dimensional systems. CEIS Working Paper No. 148 University of Rome Tor Vergata.

5. Co-Integration and Error Correction: Representation, Estimation, and Testing

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