Estimating a regime switching pairs trading model
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Publication:4554469
DOI10.1080/14697688.2017.1403035zbMATH Open1400.91539OpenAlexW2780331365MaRDI QIDQ4554469FDOQ4554469
Authors: Robert J. Elliott, Reza Bradrania 
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://ap01.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12152828940001831
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Cites Work
Cited In (10)
- Asset pricing using trading volumes in a hidden regime-switching environment
- On model robustness of the regime switching approach for pegged foreign exchange markets
- Dynamic modeling of mean-reverting spreads for statistical arbitrage
- An adaptive regime-switching regression model for hedge funds
- Information geometry of a regime-switching model with time-varying parameters.
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- A flexible regime switching model with pairs trading application to the S\&P 500 high-frequency stock returns
- Title not available (Why is that?)
- A switching microstructure model for stock prices
- Optimal convergence trading with unobservable pricing errors
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