An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors
It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets. Financial...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2017-12-01
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| Series: | International Journal of Financial Studies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7072/6/1/2 |