Dynamic modeling of mean-reverting spreads for statistical arbitrage
Kostas Triantafyllopoulos () and
Giovanni Montana ()
Computational Management Science, 2011, vol. 8, issue 1, 23-49
Keywords: Mean reversion; Statistical arbitrage; Pairs trading; State space model; Time-varying autoregressive processes; Dynamic regression; Bayesian forecasting; 91B84; 91B28; 62M10 (search for similar items in EconPapers)
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Working Paper: Dynamic modeling of mean-reverting spreads for statistical arbitrage (2009)
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