Statistical arbitrage with vine copulas
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 3942782 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 6449489 (Why is no real title available?)
- A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
- An empirical analysis of multivariate copula models
- An introduction to copulas.
- Composite Bernstein copulas
- Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
- Default probability estimation via pair copula constructions
- Dependence modeling in non-life insurance using the Bernstein copula
- Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S\&P 500
- Mathematical properties of the multivariate \(t\) distribution
- Modeling and estimating multivariate dependence structures with the Bernstein copula
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Multivariate T-Distributions and Their Applications
- Multivariate extensions of Spearman's rho and related statistics
- Multivariate extreme‐value distributions with applications to environmental data
- On the Conditional Distribution of the Multivariate t Distribution
- Pair-copula constructions of multiple dependence
- Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
- Pairs trading with partial cointegration
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
- Sampling from Archimedean copulas
- Selecting and estimating regular vine copulae and application to financial returns
- Selection of vine copulas
- Smooth nonparametric Bernstein vine copulas
- Statistical arbitrage in the US equities market
- THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
- The effectiveness of TARP-CPP on the US banking industry: a new copula-based approach
- Truncated regular vines in high dimensions with application to financial data
- Vines -- a new graphical model for dependent random variables.
Cited in
(14)- A copula-based data augmentation strategy for the sensitivity analysis of extreme operational losses
- Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
- Finding moving-band statistical arbitrages via convex-concave optimization
- Statistical arbitrage with default and collateral
- Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
- Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
- Pairs trading with wavelet transform
- Revealing pairs-trading opportunities with long short-term memory networks
- A flexible regime switching model with pairs trading application to the S\&P 500 high-frequency stock returns
- Statistical arbitrage for multiple co-integrated stocks
- Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S\&P 500
- Statistical arbitrage: factor investing approach
- Pairs trading with topological data analysis
- Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihood
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