Risk spillovers and optimal hedging in commodity ETFs: A TVP-VAR Approach
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DOI: 10.1016/j.frl.2024.106372
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More about this item
Keywords
Commodities; Exchange traded funds (ETFs); TVP-VAR; Risk spillover; Hedging strategies; Economic shocks;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Statistics
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