Risk spillovers and optimal hedging in commodity ETFs : a TVP-VAR Approach
Elroi Hadad, Davinder Malhotra, Evangelos Vasileiou
| Year of publication: |
2024
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|---|---|
| Authors: | Hadad, Elroi ; Malhotra, Davinder Kumar ; Vasileiou, Evangelos |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 70.2024, Art.-No. 106372, p. 1-13
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| Subject: | Commodities | Economic shocks | Exchange traded funds (ETFs) | Hedging strategies | Risk spillover | TVP-VAR | Hedging | Indexderivat | Index derivative | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Portfolio-Management | Portfolio selection | Schock | Shock | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.106372 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015194202