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postgraduate thesis: Mixture time series models and their applications in volatility estimation and statistical arbitrage trading

TitleMixture time series models and their applications in volatility estimation and statistical arbitrage trading
Authors
Advisors
Advisor(s):Yu, PLHLi, WK
Issue Date2008
PublisherThe University of Hong Kong (Pokfulam, Hong Kong)
Citation
Cheng, X. [程細辛]. (2008). Mixture time series models and their applications in volatility estimation and statistical arbitrage trading. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4098805
DegreeMaster of Philosophy
SubjectArbitrage - Mathematical models.
Pairs trading.
Time-series analysis.
Stock price forecasting - Mathematical models.
Dept/ProgramStatistics and Actuarial Science

 

DC FieldValueLanguage
dc.contributor.advisorYu, PLH-
dc.contributor.advisorLi, WK-
dc.contributor.authorCheng, Xixin.-
dc.contributor.author程細辛.-
dc.date.issued2008-
dc.identifier.citationCheng, X. [程細辛]. (2008). Mixture time series models and their applications in volatility estimation and statistical arbitrage trading. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4098805-
dc.languageeng-
dc.publisherThe University of Hong Kong (Pokfulam, Hong Kong)-
dc.relation.ispartofHKU Theses Online (HKUTO)-
dc.rightsThe author retains all proprietary rights, (such as patent rights) and the right to use in future works.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.source.urihttp://hub.hku.hk/bib/B40988053-
dc.subject.lcshArbitrage - Mathematical models.-
dc.subject.lcshPairs trading.-
dc.subject.lcshTime-series analysis.-
dc.subject.lcshStock price forecasting - Mathematical models.-
dc.titleMixture time series models and their applications in volatility estimation and statistical arbitrage trading-
dc.typePG_Thesis-
dc.identifier.hkulb4098805-
dc.description.thesisnameMaster of Philosophy-
dc.description.thesislevelMaster-
dc.description.thesisdisciplineStatistics and Actuarial Science-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.5353/th_b4098805-
dc.date.hkucongregation2008-

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