Pre-selection in cointegration-based pairs trading

DOI10.1007/S10260-023-00702-4MaRDI QIDQ6122770zbMATH OpenOpenAlexFDO

Authors Marianna Brunetti, Roberta De Luca

Publication date 1 March 2024

Published in Statistical Methods and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10260-023-00702-4

zbMATH Keywords

cointegrationpairs tradingpre-selectionrisk factorsspectral coherence

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Cointegration in frequency domain
• Common risk factors in the returns on stocks and bonds
• Determining the cointegration rank in heteroskedastic VAR models of unknown order
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Pairs trading via unsupervised learning
• Pairs trading with partial cointegration
• Residual-based tests for cointegration in models with regime shifts
• Spurious regressions in econometrics
• Statistical analysis of cointegration vectors
• Testing for cointegration at any frequency using spectral methods
• Understanding spurious regressions in econometrics

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