Financial and energy exchange traded funds futures: an evidence of spillover and portfolio hedging
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-022-04538-1.pdf
Reference22 articles.
1. Aromi, D., & Clements, A. (2019). Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil. Energy Economics, 81, 187–196.
2. Ben-David, I., Franzoni, F., & Moussawi, R. (2016). Exchange traded funds (ETFs) (No. w22829). National Bureau of Economic Research.
3. Ben-David, I., Franzoni, F., & Moussawi, R. (2017). Exchange-traded funds. Annual Review of Financial Economics, 9, 169–189.
4. Ben-David, I., Franzoni, F., & Moussawi, R. (2018). Do ETFs increase volatility? The Journal of Finance, 73(6), 2471–2535.
5. Chang, C. L., Liu, C. P., & McAleer, M. (2019). Volatility spillovers for spot, futures, and ETF prices in agriculture and energy. Energy Economics, 81, 779–792.
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