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...

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Bibliographic Details
Published in:	Annals of operations research Vol. 333; no. 1; pp. 501 - 516
Main Authors:	Yadav, Miklesh Prasad, Bhatia, Shikha, Singh, Nidhi, Islam, Md Tarikul
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.02.2024 Springer Springer Nature B.V
Subjects:	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 Access:	Get full text
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