A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds
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- Roßbach, Peter & Karlow, Denis, 2011. "The stability of traditional measures of index tracking quality," Frankfurt School - Working Paper Series 164, Frankfurt School of Finance and Management.
- Peña Sánchez de Rivera, Juan Ignacio & Mayordomo, Sergio & Romo, Juan, 2009. "Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs," DEE - Working Papers. Business Economics. WB wb096303, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
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Keywordscointegration; tracking error; index tracking; statistical arbitrage;
- 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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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