Browsing Statistics Masters Papers by Author "Hanson, Thomas Alan"
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Robust Tests for Cointegration with Application to Statistical Arbitrage Trading Strategies
Hanson, Thomas Alan (North Dakota State University, 2010)This study proposes two new cointegration tests that employ rank-based and least absolute deviation techniques to create a robust version of the Engle-Granger cointegration test. Critical values are generated through a ...