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

[41] Conventional mutual index funds versus exchange-traded funds
Agapova, Anna
JOURNAL OF FINANCIAL MARKETS, 2011, 14 (02) : 323 - 343
[42] Performance Dynamics of International Exchange-Traded Funds
Bahadar, Stephen
Gan, Christopher
Nguyen, Cuong
JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2020, 13 (08)
[43] Is there a dark side to exchange traded funds? An information perspective
Israeli, Doron
Lee, Charles M. C.
Sridharan, Suhas A.
REVIEW OF ACCOUNTING STUDIES, 2017, 22 (03) : 1048 - 1083
[44] Early evidence on the performance of hedged exchange traded funds
Fung, Joseph K. W.
Cheng, Jason M. K.
Lam, F. Y. Eric
INVESTMENT ANALYSTS JOURNAL, 2021, 50 (04) : 242 - 257
[45] Are exchange-traded funds a better way to invest?
Taylor, C
Wood, F
VETERINARY ECONOMICS, 2001, 42 (03): : 26 - 26
[46] Evaluating the Performance of Exchange Traded Funds in the Emerging Markets
Kenneth, Lo Ka Kuen
Lai, Kin Keung
He, Kaijian
2013 SIXTH INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING (BIFE), 2014, : 359 - 363
[47] Exchange-traded funds in bullish and bearish markets
Wong, Karen H. Y.
Shum, Wai Cheong
APPLIED ECONOMICS LETTERS, 2010, 17 (16) : 1615 - 1624
[48] PREMIUMS AND DISCOUNTS OF EUROPEAN EXCHANGE-TRADED FUNDS
Bozena, Chovancova
Michaela, Dorocakova
FINANCE AND PERFORMANCE OF FIRMS IN SCIENCE, EDUCATION, AND PRACTICE, 2017, : 319 - 328
[49] The pricing and performance of leveraged exchange-traded funds
Charupat, Narat
Miu, Peter
JOURNAL OF BANKING & FINANCE, 2011, 35 (04) : 966 - 977
[50] The exchange traded funds' pricing deviation: Analysis and forecasts
DeFusco R.A.
Ivanov S.I.
Karels G.V.
Journal of Economics and Finance, 2011, 35 (2) : 181 - 197

← 1 2 3 4 5 →