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  Pair Trading in Tehran Stock Exchange based on Smooth Transition GARCH Model

  Writer : Bajalan، Saeed ؛ Eyvazlu، Reza ؛ Akbari، Guilda ؛

  Journal:Iranian Journal of Finance»Spring 2018, Volume 2 - Number 2 (‎22 page(s) - From 7 to 28 )

  Keywords:Pair tradingRolling window approachSmooth transition GARCH modelOne-step-ahead quantile forecastingOut-of-sample-period

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