Pair Trading in Tehran Stock Exchange based on Smooth Transition GARCH Model
In this research, we use a pair trading strategy to make a profit in an emerging market. This is a statistical arbitrage strategy used for similar assets with dissimilar valuations. In the present study, smooth transition heteroskedastic models are used with the second-order logistic function for pr...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Iran Finance Association
1999-12-01
|
| Series: | Iranian Journal of Finance |
| Subjects: | |
| Online Access: | https://www.ijfifsa.ir/article_88416_c9e76e6ca1c75a699824eb7c32cf0174.pdf |