Trading in the presence of cointegration

Journal of Alternative Investments

Volumn 15, Issue 1, 2012, Pages 85-97

  Galenko, Alexander ^a   Popova, Elmira ^a   Popova, Ivilina ^b  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^b TEXAS STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84863967358     PISSN: 15203255     EISSN: None     Source Type: Journal    
DOI: 10.3905/jai.2012.15.1.085     Document Type: Article

References (16)

1. Alexander, C. Market Models. West Sussex, England: John Wiley and Sons, LTD, 2001.
2. Bossaerts, P. "Common Nonstationary Components of Asset Prices." Journal of Economic Dynamics and Control, 12 (1988), pp. 347-364.
3. Bossaerts, P., and R. Green. "A General Equilibrium Model of Changing Risk Premia: Theory and Tests." The Review of Financial Studies, Vol. 2, No. 4 (1989), pp. 467-493.
4. Casella, G., and R. Berger. Statistical Inference, 2nd Edition. California, USA: Duxbury, 2002.
5. Chen, Z., and P. Knez. "Measurement of Market Integration and Arbitrage." The Review of Financial Studies, 8 (1995), pp. 287-325.
6. Engle, R.F., and C.W.J. Granger. "Co-integration and Error Correction: Representation, Estimation and Testing." Econometrica, Vol. 55, No. 2 (1987), pp. 251-276.
7. -. Long-run Economic Relationships, Readings in Cointegration. Oxford University Press 1991.
8. Galenko, A. "Modeling Stochastic Dependencies and Their Impact on Optimal Decision Making." Ph.D. dissertation, The University of Texas at Austin, 2008.
9. Gatev, E., W.N. Goetzmann, and K.G. Rouwenhorst. "Pairs Trading: Performance of a Relative-value Arbitrage Rule." The Review of Financial Studies, Vol. 19, No. 3 (2006), pp. 797-827. (Pubitemid 44290383)
10. Johansen, S. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. New York: Oxford University Press, 1995.
11. Lehmann, B. "Fads, Martingales and Market Efficiency." The Quarterly Journal of Economics, Vol. CV, No. 1 (1990), pp. 1-28.
12. Lo, A.W., and A.C. MacKinley. "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test." The Review of Financial Studies, 1 (1988), pp. 41-66.
13. -. "When Are Contrarian Profits Due to Stock Market Overreaction?" The Review of Financial Studies, 3 (1990), pp. 175-205.
14. Markowitz, H. "Portfolio Selection." Journal of Finance. Vol. 7, No. 1 (1952), pp. 77-91.
15. SPLUS. http://spotfire.tibco.com/, 2009.
16. Summers, L. "Does the Stock Market Rationally Ref lect Fundamental Values?" Journal of Finance, Vol. XLI, No. 3 (1986), pp. 591-601.