Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs-Reference-Cited by-同舟云学术

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Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs

Published:2021-07 Issue: Volume:99 Page:105278
ISSN:0140-9883
Container-title:Energy Economics
language:en
Short-container-title:Energy Economics

Author:

Kang Sanghoon,Hernandez Jose Arreola,Sadorsky Perry,McIver Ronald

Funder

National Research Foundation of Korea

Ministry of Education

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference73 articles.

1. Financialization in commodity markets: a passing trend or the new normal?;Adams;J. Bank. Financ.,2015

2. Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets;Ahmad;Int. Rev. Financ. Anal.,2018

3. Volatility spillovers between oil prices and stock sector returns: implications for portfolio management;Arouri;J. Int. Money Financ.,2011

4. On the impacts of oil price fluctuations on European equity markets: volatility spillover and hedging effectiveness;Arouri;Energy Econ.,2012

5. The impact of trades on daily volatility;Avramov;Rev. Financ. Stud.,2006

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