Swedish Equities: Casanovas or commited Cointegrated partners
This thesis investigates the long-run stability of Cointegrated pairs in the Swedish Equity Market. Stability is evaluated by estimating pairs in an in-sample period then rolling the win- dow forward. A Pairs Trading strategy is then applied to the estimated pairs and traded out-of-sample. The relat...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Uppsala universitet, Statistiska institutionen
2016
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-295814 |