Pairs Trading; A Comparison between Student-t and Vine Copulas
Objective: The main purpose of the present research was to compare the performance of pairs trading based on the Vine Copula, Student's t Copula, and Distance approaches. This was done for the first time on the Tehran Stock Exchange (TSE). The main advantage of the Copula approach over other co...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2022-05-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_87753_45abdb98fa9898aaac764afdbc5ec09d.pdf |