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: | Saeed Bajalan, Reza Eyvazlu, Guilda Akbari |
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Format: | Article |
Language: | English |
Published: |
Iran Finance Association
1999-12-01
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Series: | Iranian Journal of Finance |
Subjects: | |
Online Access: | https://www.ijfifsa.ir/article_88416_c9e76e6ca1c75a699824eb7c32cf0174.pdf |
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