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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Vydané v:	Annals of operations research Ročník 333; číslo 1; s. 501 - 516
Hlavní autori:	Yadav, Miklesh Prasad, Bhatia, Shikha, Singh, Nidhi, Islam, Md Tarikul
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New York Springer US 01.02.2024 Springer Springer Nature B.V
Predmet:	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
On-line prístup:	Získať plný text
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