Investigation of multivariate pairs trading under copula approach with mixture distribution
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DOI: 10.1016/j.amc.2024.128635
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More about this item
Keywords
Marginal distributions; Pairs trading strategy; Multivariate pairs; Copula; Mixture distribution;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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