Chen, Jo-Hui - In: Applied Economics Letters 18 (2011) 10, pp. 983-987
Using the Exponentially Generalized AutoRegressive Conditional Heteroscedasticity-AutoRegressive Moving Average (EGARCH-ARMA) model, there are no differences in terms of the spillover of returns from volatilities and leverage effects between ethical and non-ethical Exchange Traded Funds (ETFs)...
