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European Bond ETFs - Tracking Errors and the Sovereign Debt Crisis · Study

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ArticleEuropean Bond ETFs - Tracking Errors and the Sovereign Debt Crisis

Mikica Drenovak2012

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Articlegreen2012

European Bond ETFs - Tracking Errors and the Sovereign Debt Crisis

Mikica Drenovak · Branko Urošević · Ranko Jelic

46 citations·0/0 files stored·European Financial Management

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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References

1988Statistical analysis of cointegration vectors 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 2004The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices 2009The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis 2002The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 2010What Explains the Surge in Euro Area Sovereign Spreads during the Financial Crisis of 2007–09?2010Government bond risk premiums in the EU revisited: The impact of the financial crisis 2002Exchange-Traded Funds: A New Investment Option for Taxable Investors

Cited by

2017A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices 2018Pro-cyclical effect of sovereign rating changes on stock returns: a fact or factoid?2018ETF Premiums and Liquidity Segmentation 2019Measuring Sovereign Bond Market Integration

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Year2012

Typearticle

Published2012-05-22

VenueEuropean Financial Management

ISSN-L1354-7798

Languageen

Citations46

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1111/j.1468-036x.2012.00649.x

openalex_workW1561199330

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