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 correlation. The proxies for the financial ETF futures are financial
select sector SPDR fund (XLF) and generic 1st S&P 500 index futures (SP1) while generic
1st crude oil WTI futures (CL1), generic 1st natural gas futures (NG1), and energy select …
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 correlation. The proxies for the financial ETF futures are financial
select sector SPDR fund (XLF) and generic 1st S&P 500 index futures (SP1) while generic
1st crude oil WTI futures (CL1), generic 1st natural gas futures (NG1), and energy select …
[引用][C] Financial and Energy Exchange Traded Funds Futures: An Evidence of Spillover and Portfolio Hedging
N Singh - 2022 - dln.jaipuria.ac.in
… Energy ETF Spillover Portfolio Hedging …
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