Dynamic modeling of mean-reverting spreads for statistical arbitrage (Q545522): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(4 intermediate revisions by 4 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: elicit-normlin / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2102084986 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 0808.1710 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parameter Estimation for Periodically Stationary Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Speculative trading in mean reverting markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: The zero-crossing rate of pth-order autoregressive processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fitting time series models to nonstationary processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Behaviour of Commodity Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sequential parameter estimation of time-varying non-Gaussian autoregressive processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pairs trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: Co-Integration and Error Correction: Representation, Estimation, and Testing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large sample properties of parameter least squares estimates for time‐varying arma models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stationarity of multivariate Markov-switching ARMA models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum likelihood estimation of the dynamic shock-error model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic linear model diagnostics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical analysis of cointegration vectors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Priors for unit root models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The flexible least squares approach to time-varying linear regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bootstrapping cointegrating regressions using blockwise bootstrap methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4821817 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Loss protection in pairs trading through minimum profit bounds: A cointegration approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5291733 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4353852 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fully Bayesian analysis of ARMA time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On recursive estimation for time varying autoregressive processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a new approach to reconstruction of audio signals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Trends and random walks in macroeconomic time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical Inference in Instrumental Variables Regression with I(1) Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Properties of Residual Based Tests for Cointegration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time‐varying autoregressions with model order uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence of Discount Time Series Dynamic Linear Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian forecasting and dynamic models. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4714460 / rank
 
Normal rank

Latest revision as of 05:34, 4 July 2024

scientific article
Language Label Description Also known as
English
Dynamic modeling of mean-reverting spreads for statistical arbitrage
scientific article

    Statements

    Dynamic modeling of mean-reverting spreads for statistical arbitrage (English)
    0 references
    0 references
    0 references
    22 June 2011
    0 references
    mean reversion
    0 references
    statistical arbitrage
    0 references
    pairs trading
    0 references
    state space model
    0 references
    time-varying autoregressive processes
    0 references
    dynamic regression
    0 references
    Bayesian forecasting
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references