Trading strategies with copulas
A new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate copulas and the fitted copula structures are utilised to...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2013-04-01
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| Series: | Journal of Economic and Financial Sciences |
| Subjects: | |
| Online Access: | https://jefjournal.org.za/index.php/jef/article/view/278 |