Pairs trading with partial cointegration (Q4957234): Difference between revisions

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+Statistical arbitrage in the US equities market
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+Threshold Cointegration
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+Pairs trading based on statistical variability of the spread process
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+Q4718452
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+Threshold Autoregression with a Unit Root
@@ Property / cites work: Threshold Autoregression with a Unit Root / rank @@
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+Commodity derivatives pricing with cointegration and stochastic covariances
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+Empirical properties of asset returns: stylized facts and statistical issues
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+A pairs trading strategy based on linear state space models and the Kalman filter
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+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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+Q2891271
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+Pairs trading
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Q4532483
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+Statistical analysis of cointegration vectors
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+Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
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+Term structure of interest rates and the expectation hypothesis: The Euro area
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+Multivariate cointegration analysis of the Finnish-Japanese stock markets
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+Testing for a unit root in time series regression
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+Dynamic modeling of mean-reverting spreads for statistical arbitrage
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+Fractional differencing
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