Pairs trading with the persistence-based decomposition model
Recently, the persistence-based decomposition (PBD) model has been introduced to the scientific community by Rende et al. (2019). It decomposes a spread time series between two securities into three components capturing infinite, finite, and no shock persistence. The authors provide empirical eviden...
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| Format: | Article |
| Language: | English |
| Published: |
AGH UNIVERSITY PRESS
2020-05-01
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| Series: | Managerial Economics |
| Online Access: | https://journals.agh.edu.pl/manage/article/view/3801 |
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