Sparse vector error correction models with application to cointegration‐based trading

Keyphrases

• Vector Error Correction Model 100%
• Sparse Vector 100%
• Adaptive Lasso 100%
• Copyright 50%
• Simulation Study 50%
• Parameter Estimation Method 50%
• Statistical Arbitrage 50%
• Optimization Algorithm 50%
• Asymptotic Properties 50%
• Forecast Performance 50%
• Dow Jones Industrial Average 50%
• Trading Performance 50%
• Oracle Property 50%
• Lasso Estimator 50%
• Arbitrage Portfolios 50%
• Cointegrating Vector 50%

Economics, Econometrics and Finance

• Investors 100%
• Arbitrage 100%