Dynamic dependence and spillover among the energy related ETFs : from the hedging effectiveness perspective
Hao Ji, Muhammad Naeem, Jing Zhang, Aviral Kumar Tiwari
| 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 | Multivariate Verteilung | Multivariate distribution | Spillover-Effekt | Spillover effect | EU-Staaten | EU countries | Energiewirtschaft | Energy sector | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2024.107681 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015046908