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Keywords: Fourier transform
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Journal Articles
Wavelet power spectrum analysis of ETF’s tracking error
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2022) 23 (2): 121–138.
Published: 25 January 2022
.... 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...
Journal Articles
Risk measures computation by Fourier inversion
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2017) 18 (1): 76–87.
Published: 16 January 2017
...Ngoc Quynh Anh Nguyen; Thi Ngoc Trang Nguyen Purpose The purpose of this paper is to present the method for efficient computation of risk measures using Fourier transform technique. Another objective is to demonstrate that this technique enables an efficient computation of risk measures beyond...
