Nonparametric Methods for Estimating of the Functional Cointegration Models

Student: Chernov Aleksej

Supervisor: Alexander Kudrov

Faculty: School of Statistics, Data Analysis and Demography

Educational Programme: Master

Year of Graduation: 2014

<p>In this master thesis it is presented comparative analysis of the several approaches for pair trading strategy. Each of these approaches is based on some econometric models , including: distance method, the model of linear cointegration and the cointegrational model with coefficients, which are functions from exogenous variables. The estimation procedure of the last from these models is based on an approximation of the functional coefficients by locally constant-estimates, which corresponds to the range of homogeneity of the external variable. The empirical results are demonstrated on several examples where for the analysis were taken stocks from Russian and American stocks markets.</p><p> </p>

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