Non-linear dependence modelling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100

Journal article
(Original article)


Publication Details

Author(s): Krauss C, Stübinger J
Journal: Applied economics
Publisher: Routledge
Publication year: 2017
Volume: 49
Journal issue: 52
Pages range: 5352-5369
ISSN: 0003-6846
eISSN: 1466-4283


FAU Authors / FAU Editors

Stübinger, Johannes Dr.
Lehrstuhl für Statistik und Ökonometrie


How to cite

APA:
Krauss, C., & Stübinger, J. (2017). Non-linear dependence modelling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100. Applied economics, 49(52), 5352-5369. https://dx.doi.org/10.1080/00036846.2017.1305097

MLA:
Krauss, Christopher, and Johannes Stübinger. "Non-linear dependence modelling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100." Applied economics 49.52 (2017): 5352-5369.

BibTeX: 

Last updated on 2018-06-12 at 13:53