Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs
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DOI: 10.1016/j.eneco.2021.105278
Abstract: Abstract This study uses time-frequency analysis to examine directional connectedness between US sector equity ETFs, oil, gold, stock market, and uncertainty factors over the short and long terms. Frequency-based spillover index and portfolio hedging methods… read more here.
Keywords: oil gold; sector; frequency; uncertainty ... See more keywords