The dynamics of leveraged ETFs returns: a panel data study

DOI10.1080/14697688.2016.1237035zbMath1402.91783OpenAlexW2548646238MaRDI QIDQ4555107

Antoine Giannetti

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1237035

zbMATH Keywords

panel dataleveraged ETFsequity return swap

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• Path-Dependence of Leveraged ETF Returns
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Unnamed Item