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

Krauss C, Stübinger J (2017)

Publication Status: Published

Publication Type: Journal article, Original article

Publication year: 2017

Journal

Applied economics Taylor & Francis (Routledge)

Publisher: Routledge

Book Volume: 49

Pages Range: 5352-5369

Journal Issue: 52

DOI: 10.1080/00036846.2017.1305097

Authors with CRIS profile

Christopher Krauß Lehrstuhl für Statistik und Ökonometrie Johannes Stübinger 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://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.

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