Cathy W. S. Chen, Max Chen, Shu-Yu Chen. Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models. In Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, editors, Modeling Dependence in Econometrics - Selected Papers of the Seventh International Conference of the Thailand Econometric Society, TES 2014, Faculty of Economics, Chiang Mai University, Thailand, January 8-10, 2014. Volume 251 of Advances in Intelligent Systems and Computing, pages 127-140, Springer, 2014. [doi]
Abstract is missing.