Levy models and long correlations applied to the study of exchange traded funds

被引：1

作者：

Mariani, M. C. ^{[1
]}

Libbin, J. D. ^{[1
]}

Martin, K. J. ^{[1
]}

Ncheuguim, E. ^{[1
]}

Varela, M. P. Beccar ^{[1
]}

Mani, V. Kumar ^{[1
]}

Erickson, C. A. ^{[1
]}

Valles-Rosales, D. J. ^{[1
]}

机构：

[1] New Mexico State Univ, Dept Math Sci, Las Cruces, NM 88003 USA

来源：

INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS | 2009年 / 86卷 / 06期

关键词：

Levy flight; exchange traded funds; long memory effects; NON-GAUSSIAN BEHAVIOR; TIME-SERIES; STOCHASTIC-PROCESS; FINANCIAL INDEXES; EMERGING MARKETS; DNA-SEQUENCES; ANTICORRELATIONS; FLUCTUATIONS; CONVERGENCE; HEARTBEAT;

D O I：

10.1080/00207160902763765

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This work is devoted to the study of statistical properties of Exchange Traded Funds (ETF). Some of the leading ETF in the market are analysed by using the Hurst and DFA methods to detect long range correlations, and the Levy models to describe the return distributions. It is concluded that the statistical behaviour of the ETF is very similar to the behaviour of the corresponding financial indices that they mimic.

引用

页码：1040 / 1053

页数：14

共 50 条

[21] The Performance of European Index Funds and Exchange-Traded Funds
Blitz, David
Huij, Joop
Swinkels, Laurens
EUROPEAN FINANCIAL MANAGEMENT, 2012, 18 (04) : 649 - 662
[22] Is competition beneficial? The case of exchange traded funds
Kharma, Celine
Eugster, Nicolas
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2021, 76
[23] Short interest in exchange-traded funds
Madura J.
Ngo T.
Financial Markets and Portfolio Management, 2008, 22 (4): : 381 - 402
[24] The Effects of Environmental Announcements on Exchange Traded Funds
Wallace, Damien
McIver, Ron
EMERGING MARKETS FINANCE AND TRADE, 2019, 55 (02) : 289 - 307
[25] Long correlations and Normalized Truncated Levy Models applied to the study of Indian Market Indices in comparison with other emerging markets
Mariani, M. C.
Libbin, J. D.
Mani, V. Kumar
Varela, M. P. Beccar
Erickson, C. A.
Valles-Rosales, D. J.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2008, 387 (5-6) : 1273 - 1282
[26] Pricing efficiency of exchange traded funds in Taiwan
Ching-Chung Lin
Shih-Ju Chan
Hsinan Hsu
Journal of Asset Management, 2006, 7 (1) : 60 - 68
[27] An Empirical Analysis of Exchange-Traded Funds
Buetow, Gerald W.
Henderson, Brian J.
JOURNAL OF PORTFOLIO MANAGEMENT, 2012, 38 (04): : 112 - +
[28] Inefficiencies in the Pricing of Exchange-Traded Funds
Petajisto, Antti
FINANCIAL ANALYSTS JOURNAL, 2017, 73 (01) : 24 - 54
[29] Exchange-Traded Funds and Real Investment
Antoniou, Constantinos
Li, Frank Weikai
Liu, Xuewen
Subrahmanyam, Avanidhar
Sun, Chengzhu
REVIEW OF FINANCIAL STUDIES, 2023, 36 (03): : 1043 - 1093
[30] Are the flows of exchange-traded funds informative?
Xu, Liao
Yin, Xiangkang
Zhao, Jing
FINANCIAL MANAGEMENT, 2022, 51 (04) : 1165 - 1200

← 1 2 3 4 5 →