Li, Ming Hin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 42-46). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Inference for Fractional Cointegration --- p.5 / Chapter 2.1 --- Concept of Fractional Cointegration --- p.5 / Chapter 2.1.1 --- Fractional Integration --- p.5 / Chapter 2.1.2 --- Fractional Cointegration --- p.8 / Chapter 2.2 --- Fractional Cointegration Modeling --- p.9 / Chapter 2.2.1 --- Engle-Granger's Methodology --- p.9 / Chapter 2.2.2 --- Johansen's Methodology --- p.10 / Chapter 2.2.2.1 --- Maximum Likelihood Estimators --- p.12 / Chapter 2.2.2.2 --- Cofractional Rank Test --- p.16 / Chapter 3 --- Pairs Trading Strategy --- p.19 / Chapter 3.1 --- Statistical Arbitrage --- p.19 / Chapter 3.2 --- Fractional Cointegration Pairs Trading --- p.20 / Chapter 3.2.1 --- Trading Procedures --- p.22 / Chapter 4 --- Empirical Study --- p.27 / Chapter 4.1 --- Backgrounds --- p.27 / Chapter 4.2 --- Settings --- p.28 / Chapter 4.3 --- Empirical Results --- p.29 / Chapter 5 --- Conclusions and Further Research --- p.39 / Bibliography --- p.42
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327068 |
| Date | January 2011 |
| Contributors | Li, Ming Hin., Chinese University of Hong Kong Graduate School. Division of Risk Management Science. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, x, 46 leaves : ill. ; 30 cm. |
| Coverage | China, Hong Kong |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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