Statistical arbitrage with vine copulas
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DOI: 10.1080/14697688.2018.1438642
Abstract: We develop a multivariate statistical arbitrage strategy based on vine copulas—a highly flexible instrument for linear and nonlinear multivariate dependence modeling. In an empirical application on the S&P 500, we find statistically and economically significant… read more here.
Keywords: vine copulas; vine; statistical arbitrage; arbitrage vine ... See more keywords