Pairs trading: The performance of a stochastic spread model with regime switching-evidence from the S&P 500

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.9K citations

Social Sciences, Economics, Econometrics +9

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

James D. Hamilton · Econometrica · 1989 · 9.7K citations

Social Sciences, Business Economics, Economics +17

An equilibrium characterization of the term structure

Oldrich A Vasicek · Journal of Financial Economics · 1977 · 6.3K citations

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Autoregressive conditional heteroskedasticity and changes in regime

James D. Hamilton, Raúl Susmel · Journal of Econometrics · 1994 · 1.9K citations

Social Sciences, Economics, Finance +12

Pairs Trading: Performance of a Relative-Value Arbitrage Rule

Evan Gatev, William N. Goetzmann, K. Geert Rouwenhorst · Review of Financial Studies · 2006 · 809 citations

Business, Economics, Finance +15