Leung, Tim; Zhao, Theodore - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-22
We present a multiscale analysis of the price dynamics of U.S. sector exchange-traded funds (ETFs). Our methodology features a multiscale noise-assisted approach, called the complementary ensemble empirical mode decomposition (CEEMD), that decomposes any financial time series into a number of...