The Cointegration based Alpha
Paper gives good accout of development of Cointegration concept.
2002
http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/AD_2002.pdf
High-dimensional Index Tracking with Cointegrated
assets using an hybrid Genetic Algorithm
https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=CEF2011&paper_id=153
Co-integration of Stock Markets using Wavelet Theory and
Data Mining
http://www.finance-innovation.org/risk08/files/1588125.pdf
http://www.icmacentre.ac.uk/pdf/discussion/DP2004-04.pdf
http://www.ljmu.ac.uk/AFE/AFE_docs/ARTCDRH_01051.PDF
Causal Relations among Stock Prices and Macroeconomic
Variables in the Small, Open Economy of Jordan
http://www.kau.edu.sa/Files/320/Researches/51694_21829.pdf
http://www.eui.eu/Personal/Luetkepohl/RecentAdvances.pdf
Books and Theses
Market Risk Analysis, Practical Financial Econometrics
Carol Alexander
John Wiley & Sons, 30-Apr-2008 - 426 pages
Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis.
http://books.google.co.in/books?id=XUDfylY6MO8C
Graduate thesis - Bachelors degree
Pairs trading - cointegration approach
http://ses.library.usyd.edu.au/bitstream/2123/4072/1/Thesis_Schmidt.pdf
Cointegration based Statistical Arbitrage - 2012 Master's Thesis
Swiss Federal Institute of Technology, Zurich
http://stat.ethz.ch/research/mas_theses/2012/harlacher.pdf
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