Exploring arbitrage opportunities between China's carbon markets based on statistical arbitrage pairs trading strategy
Authors:
- Boqiang LinBLBoqiang Lin
- Zhizhou TanZTZhizhou Tan
- 18 January 2023
- journal article
- research article
- Published by Elsevier in Environmental Impact Assessment Review
- Vol. 99
Abstract
No abstract availableKeywords
Funding Information
- National Natural Science Foundation of China (72133003)
- Xiamen University
This publication has 47 references indexed in Scilit:
- Profitability of pairs trading strategy in an illiquid market with multiple share classesJournal of International Financial Markets, Institutions and Money, 2012
- Arbitrage and the Law of One Price in the market for American depository receiptsJournal of International Financial Markets, Institutions and Money, 2012
- Pairs trading and outranking: The multi-step-ahead forecasting caseEuropean Journal of Operational Research, 2010
- Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and varianceJournal of Banking & Finance, 2009
- Pairs Trading: Performance of a Relative-Value Arbitrage RuleThe Review of Financial Studies, 2006
- Tests for Unit RootsJournal of Business & Economic Statistics, 2002
- The Limits of ArbitrageThe Journal of Finance, 1997
- Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica, 1987
- Distribution of the Estimators for Autoregressive Time Series with a Unit RootJournal of the American Statistical Association, 1979
- The Behavior of Stock-Market PricesThe Journal of Business, 1965