Pairs trading: A copula approach

By Rong Qi Liew, Yuan Wu. 2013

70 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/69ef83e12f46871230bd5d105b12d8788244feec

Citations in the corpus

• The profitability of pairs trading strategies: distance, cointegration and copula methods (2016, unknown): “Other studies (Vidyamurthy 2004, Wu 2013) introduce more sophisticated methodologies to improve the strategies using cointegration and copula frameworks, respectively.”
• Statistical arbitrage pairs trading strategies: Review and outlook (2017, unknown): “Lin et al. (2006) and Puspaningrum et al. (2010) develop improved trading rules specifically designed for cointegrated securities.”