Post-pandemic efficient hedging strategies for U.S. factor and sector ETFs
Employing a time-varying parameter vector autoregression framework, we examine post-pandemic risk dynamics and optimal hedging strategies between U.S. factor and sector ETFs. We document a heightened level of interconnectedness, with size and quality factors emerging as primary net risk transmitters...
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| Autor principal: | |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Elsevier
2026-04-01
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| coleção: | International Review of Economics & Finance |
| Assuntos: | |
| Acesso em linha: | http://www.sciencedirect.com/science/article/pii/S1059056026001991 |
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