Cointegration in Finance: An Application to Index Tracking-Reference-Cited by-同舟云学术

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Cointegration in Finance: An Application to Index Tracking

Published:2008 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Maurer Thomas Andreas

Publisher

Elsevier BV

Reference65 articles.

1. A new look at the statistical model identi?cation;H Akaike;IEEE Transactions on Automatic Control,1974

2. Optimal Hedging Using Cointegration;C Alexander;Philosophical Transactions: Mathematical, Physical and Engineering Sciences,1999

3. Indexing, Cointegration and Equity Market Re-gimes;C Alexander;International Journal of Finance and Economics,2005

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Some ideas for improving quality of the index tracking based on cointegration;Verslas: teorija ir praktika;2016-11-30

2. Benchmark replication portfolio strategies;Journal of Asset Management;2013-04

3. Benchmark Replication Portfolio Strategies;SSRN Electronic Journal;2011

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