Pairs trading via three-regime threshold autoregressive GARCH models

Advances in Intelligent Systems and Computing

Volumn 251, Issue , 2014, Pages 127-140

  Chen, Cathy W S ^a   Chen, Max ^b   Chen, Shu Yu ^a  

^a FENG CHIA UNIVERSITY   (Taiwan)

^b MING CHUAN UNIVERSITY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER PROGRAMMING; COMPUTER SCIENCE;

AUTO-REGRESSIVE; COINTEGRATION; DOW JONES INDUSTRIAL AVERAGES; GARCH MODELS; MINIMUM DISTANCE; PAIRS TRADING; THRESHOLD AUTO REGRESSIVE MODELS; WALL STREETS;

COMMERCE;

EID: 84897890653     PISSN: 21945357     EISSN: None     Source Type: Book Series    
DOI: 10.1007/978-3-319-03395-2_8     Document Type: Conference Paper

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