In recent years interests in “Exchanged Traded Funds” has increased substantially. As a result of investors' interest and the surge of cash flowing into these interments, there has been a surge in number of ETF's. These days there are ETF's which trace all kind of domestic and international...

I develop a dynamic general equilibrium model of exchange traded funds (ETFs) that accounts for the two-tier ETF market structure with both a centralized exchange (secondary market) and a creation/redemption mechanism (primary market) operating through market-making firms known as Authorized...

This paper considers extensions of 2-dimensional factor models to higher-dimension data that can be represented as tensors. I describe decompositions of tensors that generalize the standard matrix singular value decomposition and principal component analysis to higher dimensions. I estimate the...