Dynamic dependence and spillover among the energy related ETFs : from the hedging effectiveness perspective
Year of publication: |
2024
|
---|---|
Authors: | Ji, Hao ; Naeem, Muhammad ; Zhang, Jing ; Tiwari, Aviral Kumar |
Published in: |
Energy economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1873-6181, ZDB-ID 2000893-4. - Vol. 136.2024, Art.-No. 107681, p. 1-13
|
Subject: | DCC-GARCH copula | Energy ETFs | TVP-VAR-DY index | Indexderivat | Index derivative | Hedging | Spillover-Effekt | Spillover effect | Aktienindex | Stock index | Multivariate Verteilung | Multivariate distribution | Energiewirtschaft | Energy sector | EU-Staaten | EU countries | Energiepolitik | Energy policy |
-
Hanif, Waqas, (2021)
-
Conditional quantiles and tail dependence in the volatilities of gold and silver
Bouri, Elie, (2019)
-
Why are "true" active managers essential for markets?
Galakis, John, (2021)
- More ...
-
Negative Return-Volume Relationship in Asian Stock Markets: Figarch-Copula Approach
Naeem, Muhammad, (2014)
-
Financial management in Pakistan
Ansari, Javed Akbar, (2005)
-
Ji, Hao, (2018)
- More ...