ETF跟踪误差的小波功率谱分析

IF 5.7 Q1 BUSINESS, FINANCE

Journal of Risk Finance Pub Date : 2022-01-25 DOI:10.1108/jrf-04-2021-0058

Aniel Nieves-González, Javier Rodríguez, José C. Vega Vilca

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引用次数: 1

摘要

目的本研究使用光谱技术检验了行业交易所交易基金(etf)样本的跟踪误差(TE)。设计/方法/方法通过使用小波变换计算其功率谱来检查te。小波变换将TE时间序列从时域映射到时频域。尽管与傅里叶变换相比，小波变换是一种更复杂的数学工具，但它也有重要的优势，比如它允许分析非平稳数据和检测瞬态行为。结果表明，小波变换可以捕捉到扇形etf样本TE的变化。此外，作者还发现小波相干函数可以作为时频域TE的度量。独创性/价值研究表明，小波相干函数可以作为TE的可靠度量。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Wavelet power spectrum analysis of ETF’s tracking error

PurposeThis study examines the tracking error (TE) of a sample of sector exchange traded funds (ETFs) using spectral techniques.Design/methodology/approachTE is examined by computing its power spectrum using the wavelet transform. The wavelet transform maps the TE time series from the time domain to the time–frequency domain. Albeit the wavelet transform is a more complicated mathematical tool compared with the Fourier transform, it also has important advantages such as that it allows to analyze non-stationary data and to detect transient behavior.FindingsResults show that changes in the TE of a sample of sector ETFs are captured by the wavelet transform. Moreover, the authors also find that the wavelet coherence function can be used as a measure of TE in the time–frequency domain.Originality/valueThe study shows that the wavelet coherence function can be used as a reliable measure of TE.

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来源期刊

Journal of Risk Finance BUSINESS, FINANCE-

CiteScore

6.20

自引率

6.70%

发文量

期刊介绍： The Journal of Risk Finance provides a rigorous forum for the publication of high quality peer-reviewed theoretical and empirical research articles, by both academic and industry experts, related to financial risks and risk management. Articles, including review articles, empirical and conceptual, which display thoughtful, accurate research and be rigorous in all regards, are most welcome on the following topics: -Securitization; derivatives and structured financial products -Financial risk management -Regulation of risk management -Risk and corporate governance -Liability management -Systemic risk -Cryptocurrency and risk management -Credit arbitrage methods -Corporate social responsibility and risk management -Enterprise risk management -FinTech and risk -Insurtech -Regtech -Blockchain and risk -Climate change and risk