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Applied Economics Letters Volume 20, 2013 - Issue 4
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Original Articles

On the application of cointegration analysis in enhanced indexing

Nikolaos S. Thomaidis Department of Financial & Management Engineering, University of the Aegean, Chios, 82100, GreeceCorrespondence[email protected]
Pages 391-396 | Published online: 02 Aug 2012

Citations (5)

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Q. Li, L. Bao & Q. L. Zhang. (2014) Multi-scale tracking dynamics and optimal index replication. Applied Economics Letters 21:4, pages 252-256.
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Articles from other publishers (4)

Jun Nakayama & Daisuke Yokouchi. (2018) Applying Time Series Decomposition to Construct Index-Tracking Portfolio. Asia-Pacific Financial Markets 25:4, pages 341-352.
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Leonardo R. Sant’Anna, Tiago P. Filomena & João F. Caldeira. (2017) Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection. The Quarterly Review of Economics and Finance 65, pages 146-157.
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Damián Pastor, Tomáš Sabol & Jozef Glova. (2016) Some ideas for improving quality of the index tracking based on cointegration. Verslas: teorija ir praktika 17:4, pages 325-333.
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Ioannis Papantonis. (2016) Cointegration-based trading: evidence on index tracking & market-neutral strategies. Managerial Finance 42:5, pages 449-471.
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