Essays about: "kointegration"

Showing result 6 - 7 of 7 essays containing the word kointegration.

1. 6. On Pairs Trading : A Comparison between Cointegration and Correlation as Selection-criteria

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Erik Hognesius; Jakob Höllerbauer; [2014]
   Keywords : Pairs trading; Cointegration; Correlation; Simulation Study; NASDAQ100; Parhandel; Kointegration; Korrelation; Simuleringsstudie; NASDAQ100;

   Abstract : In this paper we show that pairs of stocks which have a true long run equilibrium (cointegration) yield a higher return than pairs of stocks that relies on a more spurious relationship (correlation) when applying Pairs Trading for a trading period from 31/12-09 to 25/6-14. We get an annual return for the cointegration portfolio of 4,15%, with a Sharpe-ratio of 0,87. READ MORE

3. 7. Financial Integration in Europe : a Cointegration Analysis of European Stock Markets

   University essay from Institutionen för ekonomisk och industriell utveckling; Filosofiska fakulteten

   Author : Robert Emanuelsson; Goran Katinic; Dennis Petersson; [2012]
   Keywords : Economics; Financial integration; Cointegration; Johansen; Granger Causality; Euro; EU; European cooperation; Engle; Granger.; Nationalekonomi; Finansiell integration; Kointegration; Johansen; Granger kausalitet; Euro; EU; Europeiskt samarbete; Engle; Granger;

   Abstract : This thesis has studied short and long-term dependence structures between European stock markets. Johansen's test for cointegration and Granger's test for non-causality have been applied in order to measure the degree of financial integration in Europe. READ MORE