TY  - RPRT
AU  - Chang, Chia-Lin
AU  - McAleer, Michael
AU  - Wang, Chien-Hsun
PY  - 2016
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/27579
AB  - It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent...
LA  - eng
A3  - Facultad de Ciencias Económicas. Instituto Complutense de Análisis Económico (ICAE)
KW  - Exchange traded funds
KW  - Financial and energy sectors
KW  - Co-volatility spillovers
KW  - Spot and futures prices
KW  - Generated regressors
KW  - Diagonal BEKK.
TI  - An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
TY  - technical report
VL  - 2016
ER  -