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Original Articles

On the application of cointegration analysis in enhanced indexing

Pages 391-396 | Published online: 02 Aug 2012

References

  • Alexander , C. and Dimitriu , A. 2005 . “ Indexing and statistical arbitrage: tracking error or cointegration? ” . In Journal of Portfolio Management Vol. 31 , 50 – 63 .
  • Alexander , C. , Giblin , I. and Weddington , W. 2002 . “ Cointegration and asset allocation: a new fund strategy ” . In Research in International Business and Finance Vol. 16 , 65 – 90 .
  • Engle , R. F. and Granger , C. W. J. 1987 . Co-integration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 76 .
  • Lucas , A. 1997 . “ Strategic and tactical asset allocation and the effect of long-run equilibrium relations ” . In Research Memorandum 0042 , Amsterdam : Faculty of Economics, VU University .

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