Before revision:  In the first part of the study, we review a popular econometric model called the rolling regression time series model and illustrate an equivalence between the latter and the Bollinger Band methodology. In the second part of the study, we illustrate the use of Bollinger Bands in pairs trading \mbox{%DIFAUXCMD INV2007 return duration relationship in Bollinger Bands pairs trading.
After revision:  In the first part of the study, we review a popular econometric model called the rolling regression time series model and deriving its explicit relationship to Bollinger Bands. Next we illustrate the use of Bollinger Bands in pairs trading \mbox{%DIFAUXCMD INV2007 return duration relationship in Bollinger Bands pairs trading.