16-047/III - Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances

  • Authors
    Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Yanghuiting Wang, National Tsing Hua University, Taiwan
  • Publication date
    June 27, 2016
  • Keywords
    Energy, natural gas, spot, futures, ETF, NYMEX, ICE, optimal hedging strategy, covolatility spillovers, diagonal BEKK
  • JEL
    C58, D53, G13, G31, O13
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