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Applying pairs trading to Vietnamese stocks
(International University - HCMC, 2019)
In this research, we nd out Pairs Trading's de nition, alogrithm. Then we apply
pairs trading in Vietnamese stock market. 50 pairs of stocks in Vietnamese stock
market are used to apply pairs trading. Next, we use One ...
Applying dynamic conditional correlation- garch model in portfolio selection of Vietnam's stock market
(International University - HCMC, 2019)
This thesis aims to implement Dynamic Conditional Correlation - GARCH model
for estimating the conditional covariance matrices in a large dimension for Vietnamese
stocks. We rst randomly select a portfolio contains 10 ...