Long-Short Market Neutral and Index Tracking Strategies Based on Cointegrated Portfolios
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More about this item
KeywordsCointegration; Index Tracking; Long-Short; Market Neutral Strategy;
All these keywords.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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