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Ekonometrické modelovanie výkonu fondov
Tuchyňová, Barbora
In this diploma thesis we gather information on European mutual funds and ETFs that would help to inform the decision of an investment manager. We cre-ated OLS models for three types of mutual funds - money market, bond and equity – to demonstrate a relationship between funds' volatility and their annualised return. We then utilised VAR models to test Granger causation between an ETF and its tracking index using their net asset value.

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