Alexander C, Giblin I, Weddington W (2002) Cointegration and asset allocation: a new active hedge fund strategy. Tech Rep Discussion Paper 2003-08, ISMA Centre Discussion Papers in Finance Series

Ameen JRM, Harrison PJ (1984) Discount weighted estimation. J Forecasting 3: 285–296

CrossRefAnderson PL, Meerschaert MM (2005) Parameter estimation for periodically stationary time series. J Time Ser Anal 26: 489–518

CrossRefBarberis N (2000) Investing for the long-run when returns are predictable. J Finance 55(1): 225–264

CrossRefCarcano G, Falbo P, Stefani S (2005) Speculative trading in mean reverting markets. Eur J Oper Res 163: 132–144

CrossRefChan SW, Goodwin GC, Sin KS (1984) Convergence properties of the riccati difference equation in optimal filtering of nonstabilizable systems. IEEE Trans Autom Control 29: 10–18

CrossRefChaudhuri K, Wu Y (2003) Random walk versus breaking trend in stock prices: evidence from emerging markets. J Banking Finance 27: 575–592

CrossRefCheng X, Wu Y, Du J, Liu H (1995) The zero-crossing rate of

*p*th-order autoregressive processes. J Time Ser Anal 18(4): 355–374

CrossRefDahlhaus R (1997) Fitting time series models to nonstationary processes. Ann Stat 25: 1–37

CrossRefd’Aspremont A (2008) Identifying small mean reverting portfolios. Tech rep, Princeton University

Deaton A, Laroque G (1992) On the behavior of commodity prices. Rev Econ Stud 59: 1–23

CrossRefDjurić PM, Kotecha JH, Esteve F, Perret E (2002) Sequential parameter estimation of time-varying non-Gaussian autoregressive processes. EURASIP J Appl Signal Process 8: 865–875

Elliott R, Krishnamurthy V (1999) New finite-dimensional filters for parameter estimation of discrete-time linear gaussian models. IEEE Trans Autom Control 44(5): 938–951

CrossRefElliott R, van der Hoek J, Malcolm W (2005) Pairs trading. Quant Finance 5(3): 271–276

CrossRefEngle R, Granger C (1987) Co-integration and error correction: representation, estimation, and testing. Econometrica 55(2): 251–276

CrossRefFama EF, French K (1988) Permanent and temporary components of stock prices. J Polit Econ 96(2): 246–273

CrossRefFrancq C, Gautier A (2004) Large sample properties of parameter least squares estimates for time-varying ARMA models. J Time Ser Anal 25: 765–783

CrossRefFrancq C, Zakoan JM (2001) Stationarity of multivariate Markov-switching ARMA models. J Econom 102: 339–364

CrossRefGhahramani Z, Hinton GE (1996) Parameter estimation for linear dynamical systems. Tech Rep Technical Report CRG-TR-92-2, Department of Computer Science, University of Toronto

Ghosh D (1989) Maximum likelihood estimation of the dynamic shock-error model. J Econom 41(1): 121–143

CrossRefHargreaves C (1994) Nonstationary time series analysis and cointegration, Oxford, chap A review of methods of estimating cointegrating reiationships, pp 87–131

Harrison PJ, West M (1991) Dynamic linear model diagnostics. Biometrika 78: 797–808

CrossRefHarvey A (1989) Forecasting, structural time series models and the kalman filter. Cambridge University Press, Cambridge

Johansen S (1988) Statistical analysis of cointegration vectors. J Econ Dynam Control 12: 231–255

CrossRefJohansen S (1991) Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregression models. Econometrica 59: 1551–1580

CrossRefJorion P, Sweeney R (1996) Mean reversion in real exchange rates: evidence and implications for forecasting. J Int Money Finance 15(4): 535–550

CrossRefKadane JB, Chan NH, Wolfson LJ (1996) Priors for unit root models. J Econom 75: 99–111

CrossRefKadiyala KR, Karlsson S (1997) Numerical methods for estimation and inference in Bayesian VAR-models. J Appl Econom 12: 99–132

CrossRefKalaba R, Tesfatsion L (1988) The flexible least squares approach to time-varying linear regression. J Econ Dynam Control 12(1): 43–48

CrossRefKalman RE (1960) A new approach to linear filtering and prediction problems. J Basic Eng 82: 35–45

Li H, Xiao Z (2003) Bootstrapping cointegrating regressions using blockwise bootstrap methods. J Stat Comput Simul 73(15): 775–789

CrossRefLi WK (2004) Diagnostic checks in time series. Chapman and Hall, London

Lin Y, McCrae M, Gulati C (2006) Loss protection in pairs trading through minimum profit bounds: a cointegration approach. J Appl Math Decis Sci 2: 1–14

CrossRefLütkepohl H (2006) New introduction to multiple time series analysis. Springer, New York

McLachlan GL, Krishnan T (1997) The EM algorithm and extensions. Wiley Series in Probability and Statistics, Wiley

Meinhold RJ, Singpurwalla ND (1983) Understanding the Kalman filter. Am Stat 37(2): 123–127

CrossRefMonahan JF (1983) Fully Bayesian analysis of ARMA time series models. J Econom 21: 307–331

CrossRefMontana G, Parrella F (2008) Learning to trade with incremental support vector regression experts. In: Corchado E, Abraham WA amd Pedrycz (eds) Lecture notes in computer science, Springer, pp 591–598

Montana G, Parrella F (2009) Data mining for algorithmic asset management. In: Cao L, Yu PS, Zhang C, Zhang H (eds) Data mining for business applications. Springer, US, pp 283–295

CrossRefMontana G, Triantafyllopoulos K, Tsagaris T (2008) Data stream mining for market-neutral algorithmic trading. In: Proceedings of the ACM symposium on applied computing, pp 966–970

Montana G, Triantafyllopoulos K, Tsagaris T (2009) Flexible least squares for temporal data mining and statistical arbitrage. Expert Syst Appl 36(2): 2819–2830

CrossRefMoulines E, Priouret P, Roueff F (2005) On recursive estimation for time varying autoregressive processes. Ann Stat 33(6): 2610–2654

CrossRefNi S, Sun D (2003) Noninformative priors and frequentist risks of Bayesian estimators of vector- autoregressive models. J Econom 115: 159–197

CrossRefNiedźwiecki M (2000) Identification of time-varying processes. Wiley, New York

Perron P (1988) Trends and random walks in macroeconomic time series. J Econ Dynam Control 12: 297–332

CrossRefPhillips P, Hansen B (1990) Statistical inference in instrumental variables regression with I(1) process. Rev Econ Stud 57: 99–125

CrossRefPhillips PCB, Ouliaris S (1990) Asymptotic properties of residual based tests for cointegration. Econometrica 58: 165–193

CrossRefPole A (2007) Statistical arbitrage. Algorithmic trading insights and techniques. Wiley Finance

Poterba JM, Summers LH (1988) Mean reversion in stock prices: evidence and implications. J Financ Econom 22(1): 27–59

CrossRefPrado R, Huerta G (2002) Time-varying autoregressions with model order uncertainty. J Time Ser Anal 23: 599–618

CrossRefSaad D (ed) (1999) On-line learning in neural networks. No. 17 in Publications of the Newton Institute, Cambridge

Shumway RH, Stoffer DS (1982) An approach to time series smoothing and forecasting using the em algorithm. J Time Ser Anal 3(4): 253–264

CrossRefSutcliffe C, Board J (2006) Encyclopedia of financial engineering and risk management, Fitzroy Dearborn, chap Index arbitrage

Triantafyllopoulos K (2007) Convergence of discount time series dynamic linear models. Commun Stat Theory Methods 36: 2117–2127

CrossRefTriantafyllopoulos K (2007) Covariance estimation for multivariate conditionally Gaussian dynamic linear models. J Forecasting 26: 551–569

CrossRefVidyamurthy G (2004) Pairs trading. Wiley Finance

West M, Harrison PJ (1997) Bayesian forecasting and dynamic models. 2nd edn. Springer, New York

West M, Prado R, Krystal AD (1999) Evaluation and comparison of EEG traces: latent structures in nonstationary time series. J Am Stat Assoc 94: 375–387

CrossRefZellner A (1972) An introduction to Bayesian inference in econometrics. Wiley, New York