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16-052/III - An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors

  • Authors
    Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain; Chien-Hsun Wang, National Tsing Hua University, Taiwan
  • Publication date
    July 18, 2016
  • Keywords
    Exchange traded funds, financial and energy sectors, co-volatility spillovers, spot and futures prices, generated regressors, Diagonal BEKK
  • JEL
    C58, G13, G23, G31, Q41
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