Article citationsMore>>

E. G. Gatev and W. Goetzmann and K. G. Rouwenhorst, “Pairs Trading: Performance of a Relative Value Arbitrage Rule,” Boston College, Boston, 2006.

has been cited by the following article:

• TITLE: Bayesian Markov Regime-Switching Models for Cointegration

  AUTHORS: Kai Cui, Wenshan Cui

  KEYWORDS: Cointegration; Regime-Switching; Bayesian; MCMC

  JOURNAL NAME: Applied Mathematics, Vol.3 No.12, December 14, 2012

  ABSTRACT: This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over time. Unlike classical approaches for testing and modeling cointegration, the Bayesian Markov switching method allows for estimation of the regime-specific model parameters via Markov Chain Monte Carlo and generates more reliable estimation. Inference of regime switching also provides important information for further analysis and decision making.