Essays on specification testing in time series with applications to statistical arbitrage

QR Code

Essays on specification testing in time series with applications to statistical arbitrage

Bibliographic Details
Main Author:	Daihes, Oron
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2012
Subjects:	Arbitrage mathematical models
Online Access:	https://eprints.nottingham.ac.uk/12462/

Similar Items

Arbitrage Opportunities in the Klibor Futures Market in Malaysia
by: Shahbudin, Shakirah
Published: (2006)

Testing the arbitrage pricing theory on the Tehran stock exchange
by: Sabetfar, Pooyar
Published: (2011)

Mean-reverting discrete time market models: Speculative opportunities and absence of arbitrage
by: Dokuchaev, Nikolai
Published: (2012)

Determination of Arbitrage Pricing Factors in the Malaysian Stock Market
by: Zakaria, Azhar
Published: (2006)

Can time difference deter arbitrage opportunities?
by: Bogomolov, T., et al.
Published: (2013)

The Law of One Price and Arbitrage on China's Dual-listings
by: Liu, Li Xian, et al.
Published: (2013)

Mean-reverting market model: speculative opportunities and non-arbitrage
by: Dokuchaev, Nikolai
Published: (2011)

Return & Volatility Disparity, Slow Adjustment Process in Chinese Triple-Listed Firms
by: Liu, Li Xian
Published: (2012)

Essays in unit root testing
by: Smith, Lynette Vanessa
Published: (2003)

Rainfall time series modeling for a mountainous region in West Iran
by: Mekanik, Fatemeh
Published: (2010)

Essays on the foreign exchange market: the market microstructure and evidence of the behavioural theory
by: Li, Zhiyong
Published: (2015)

Testing international arbitrage: evidence from Chinese and Australian markets
by: Abraham, Santosh Mon
Published: (2014)

Time series modelling of tourist arrivals to Malaysia
by: Shitan, Mahendran
Published: (2008)

The pricing of liquidity and limits to arbitrage
by: Kang, W., et al.
Published: (2014)

Arbitrage Possibilities in Conflict Situations
by: Klass, Des, et al.
Published: (2004)

Essays in business cycles: housing market, adaptive learning, and credit market imperfections
by: Li, Jinke
Published: (2012)

Parametric survival models with time-dependent covariate for mixed case interval-censored data
by: Kiani, Kaveh
Published: (2012)

Statistical Analysis of Delay in Time Series
by: Ratchagit, Manlika
Published: (2023)

Towards optimal symbolization for time series comparisons
by: Smith, Gavin, et al.
Published: (2013)

Analysis of time series by re-sampling
by: Mohamed, B. I., et al.
Published: (2012)

Time series forecasting for tourism industry in Malaysia
by: Noratikah, Abu, et al.
Published: (2024)

MSG467 - Time Series Analysis
by: PPSM, Pusat Pengajian Sains Matematik
Published: (2022)

MSG467 - Time Series Analysis
by: PPSM, Pusat Pengajian Sains Matematik
Published: (2024)

MSG467 - Time Series Analysis
by: PPSM, Pusat Pengajian Sains Matematik
Published: (2024)

An investigation into the recurring patterns of forex time series data
by: Yong, Yoke Leng *, et al.
Published: (2015)

Option valuation under no-arbitrage constraints with neural networks
by: Cao, Yi, et al.
Published: (2021)

Investor sentiment, limited arbitrage and the cash holding effect
by: Li, Xiafei, et al.
Published: (2017)

Test of arbitrage pricing theory on the Tehran stock exchange: the case of a shariah-compliant close economy
by: Sabetfar, Pooya, et al.
Published: (2011)

Identifying homogeneous rainfall catchments for non-stationary time series using TOPSIS algorithm and bootstrap K-sample Anderson-Darling test
by: Chuan, Zun Liang, et al.
Published: (2018)

Essays on political economy
by: Canales, Diego
Published: (2021)

Statistical data preprocessing methods in distance functions to enhance k-means clustering algorithm
by: Dalatu, Paul Inuwa
Published: (2018)

Preprocessing And Clustering Short Time-Series Microarray
by: Loh, Wei Ping
Published: (2008)

GARCH models and distributions comparison for nonlinear time series with volatilities
by: Nur Haizum, Abd Rahman, et al.
Published: (2023)

Activation functions performance in multilayer perceptron for time series forecasting
by: Nur Haizum, Abd Rahman, et al.
Published: (2024)

Hyperparameter tuning of deep neural network in time series forecasting
by: Xiang, Kelly Pang Li, et al.
Published: (2024)

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
by: Zu, Yang, et al.
Published: (2017)

Test of suitability of normal distribution based on Cramer-von Mises statistics
by: Shabri, Ani Bin, et al.
Published: (2007)

Semiparametric inference procedure for the accelarated failure time model with interval-censored data
by: Karimi, Mostafa
Published: (2019)

Application of Empirical Mode Decomposition with Local Linear Quantile Regression in Financial Time Series Forecasting
by: M. Jaber, Abobaker, et al.

Efficiency Measurement of Decision Making Units with Series and Parallel Structures by Data Envelopment Analysis
by: Ashrafi, Ali
Published: (2011)