6 resultados para Error amplification


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15th International Conference on Mixed Design of Integrated Circuits and Systems, pp. 177 – 180, Poznan, Polónia

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IEEE International Symposium on Circuits and Systems, pp. 2258 – 2261, Seattle, EUA

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15th IEEE International Conference on Electronics, Circuits and Systems, Malta

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Thesis presented in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the subject of Electrical and Computer Engineering by the Universidade Nova de Lisboa,Faculdade de Ciências e Tecnologia

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Dissertação para obtenção do Grau de Mestre em Engenharia Electrotécnica e Computadores

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This paper is mainly concerned with the tracking accuracy of Exchange Traded Funds (ETFs) listed on the London Stock Exchange (LSE) but also evaluates their performance and pricing efficiency. The findings show that ETFs offer virtually the same return but exhibit higher volatility than their benchmark. It seems that the pricing efficiency, which should come from the creation and redemption process, does not fully hold as equity ETFs show consistent price premiums. The tracking error of the funds is generally small and is decreasing over time. The risk of the ETF, daily price volatility and the total expense ratio explain a large part of the tracking error. Trading volume, fund size, bid-ask spread and average price premium or discount did not have an impact on the tracking error. Finally, it is concluded that market volatility and the tracking error are positively correlated.