Pair Trading in Tehran Stock Exchange based on Smooth Transition GARCH Model

Saeed Bajalan; Reza Eyvazlu; Guilda Akbari

Volume 2, Issue 2 , April 2018, , Pages 7-28

https://doi.org/10.22034/ijf.2018.88416

Abstract
  In this research, we use a pair trading strategy to make a profit in an emerging market. This is a statistical arbitrage strategy used for similar assets with dissimilar valuations. In the present study, smooth transition heteroskedastic models are used with the second-order logistic function for producing ...  Read More