Financial and energy exchange traded funds futures: an evidence of spillover and portfolio hedging

This paper examines spillover from financial exchange-traded funds (ETF) futures to energy ETF futures using adjusted daily data extending from April 2, 2009, to November 23, 2020. We also explore the portfolio hedging-based conditional variance and co-variance derived from dynamic conditional corre...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Annals of operations research Jg. 333; H. 1; S. 501 - 516
Hauptverfasser:	Yadav, Miklesh Prasad, Bhatia, Shikha, Singh, Nidhi, Islam, Md Tarikul
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	New York Springer US 01.02.2024 Springer Springer Nature B.V
Schlagworte:	Analysis Business and Management Causality Combinatorics Crude oil Exchange traded funds Futures Hedging Hedging (Finance) Natural gas Operations Research/Decision Theory Original Research Theory of Computation India Energy ETF Spillover Financial ETF Portfolio hedging Dynamic connectedness
ISSN:	0254-5330, 1572-9338
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!